財務管理-責任管理模式

1、Principal-agent Modeling 責任代理模式Dr. Chak-Tong Chau 仇澤棠博士U.S. Fulbright Professor中美交流富布萊特教授管理資源吧（），提供海量管理資料免費下載！1我請您們考慮一些問題A small medical insurance scenario 一個醫(yī)療保健的問題When you have a small illness, do you normally see your doctor? 當你有小病的時候，你會不會自費看醫(yī)生？What about, if your firm pay for your expense?但是，如果是

2、單位付錢呢，那又怎樣？管理資源吧（），提供海量管理資料免費下載！Dr. Chak-Tong Chau2Fulbright Guest Lecture Materials我請您們考慮一些問題A car maintenance scenario 一個汽車維修的問題Your car is being rented for 2 months. Supposedly, it needs oiling every month. How likely you will remember to do so?你的汽車是租來用兩個月的，它需要每月潤滑上油一次。你會不會依時地去上油？How about if thi

3、s is your own car?如果這是你自己的汽車，你又會不會去做？管理資源吧（），提供海量管理資料免費下載！Dr. Chak-Tong Chau3Fulbright Guest Lecture Materials我請您們考慮一些問題A medical insurance problem 自費醫(yī)療保險的問題When we purchase medical insurance, the insurance company usually requires that you disclose your medical history. Pre-conditions are usually e

4、xcluded from the coverage.購買保險的時候，它們通常要求你列出你的病歷。但是如果你有大病的話，很可能保險公司不愿意受保。管理資源吧（），提供海量管理資料免費下載！Dr. Chak-Tong Chau4Fulbright Guest Lecture Materials我請您們考慮一些問題If you do in fact have some major medical problems that require expensive treatments, would you disclose these problems?如果你真的有大病, 你會不會真實地上報？What

5、do all these tell us about certain human behavior?這些問題表明了一些什么的人性行為？管理資源吧（），提供海量管理資料免費下載！Dr. Chak-Tong Chau5Fulbright Guest Lecture MaterialsAgency Problems and Behavior代理人的行為與問題A moral hazard problem (道德危機問題)when an individual has an incentive to deviate from the contract and take self-interested ac

6、tions because the other party has insufficient information to know if the contract was honored.醫(yī)療保健 雖然我知道我與雇主的契約明確列出我不要浪費公司的資源。但是用公司的好過用我的嘛！而且公司又不會知道我未能遵守契約。Dr. Chak-Tong Chau6Fulbright Guest Lecture MaterialsAgency Problems and Behavior代理人的行為與問題A horizon problem 水平界線問題If one partys risk or compensa

7、tion is not the same as the other partys, the one with a shorter horizon will tend to secretly maximize the short-term benefits, at the expense of the other longer-term party.汽車維修 我明白汽車不維修壽命不會長。但是，兩個月以后這車子變成怎么樣與我無關了吧。Dr. Chak-Tong Chau7Fulbright Guest Lecture MaterialsAgency Problems and Behavior代理人

8、的行為與問題An adverse selection problem 逆向選擇問題The tendency of individuals with private information about something that affects a potential trading partners benefits to make offers that are detrimental to the trading partner.自費醫(yī)療保險:雖然我知道保險公司需要知道我的病歷從而決定保險費。但是誠實的代價是較高的費用。此外，我不說，誰知道。Dr. Chak-Tong Chau8Fulb

9、right Guest Lecture Materials誰是代理人？什么是代理成本？An agent is someone who has certain special expertise that is desired by the principal to use for his/her benefits. The agent is usually risk adverse, has decision rights to manage, but does not own, the organizations assets. 代理人(agent) 是任何人在公司有決策權力，但是并非產權的

10、最終所有者。代理人通常有較佳的專長，更好的資訊，和對風險抱保守的態(tài)度(risk adverse)。Dr. Chak-Tong Chau9Fulbright Guest Lecture Materials誰是代理人？什么是代理成本？There are three (3) types of agency costs. 代理成本有三類：設計限制性契約的成本 (bonding costs)建立監(jiān)督制度的成本 (monitoring costs)剩餘的損耗 (residual loss)Note that some costs are bornt by the principal but some ar

11、e bornt by the agent.注意的是，有時這些成本是由委托人(principal)負擔。不過有時這些成本是由代理人自己負擔的。Dr. Chak-Tong Chau10Fulbright Guest Lecture MaterialsAgency CostsBonding costs costs incurred, before entering the contract, to convince the principal that such agency relationship will not result in the above-mentioned agency pro

12、blems. Examples are: reputation building, 3rd party guarantor, etc.Dr. Chak-Tong Chau11Fulbright Guest Lecture MaterialsAgency CostsMonitoring costs costs incurred, after entering the contract, to ensure that such agency problems will not arise. Examples include auditing and inspection costs.Dr. Cha

13、k-Tong Chau12Fulbright Guest Lecture MaterialsAgency CostsResidual loss loss unavoidably arise, despite the bonding and monitoring costs, the contract still cannot yield the utmost benefits, because:the agency problems do arise, ordue to the suspicion of the agency problems, the principal refuses to

14、 pay the agent compensations that fully reflect his/her efforts.Dr. Chak-Tong Chau13Fulbright Guest Lecture MaterialsExamples of the Principal-agent ModelEffort levelProbabilities and payoffs for 4 different eventsS1=0.3S2=0.3S3=0.2S4=0.2E1=6$55,000$55,000$55,000$40,000E2=5$55,000$55,000$40,000$40,0

15、00E3=4$55,000$40,000$40,000$40,000Dr. Chak-Tong Chau14Fulbright Guest Lecture MaterialsExamples of the Principal-agent ModelAgents Utility Function: Xa - e2 100 where: Xa = agents compensationse = the effort level used by the agentQuestion 1: If you were the principal in entering the contract, which

16、 level of effort (e1, e2, or e3) would you demand?Question 2: If you, the principal, can closely monitor and observe the agent at all time, what are the amount andcondition of payment? And, what is the expected payoff for the principal?Dr. Chak-Tong Chau15Fulbright Guest Lecture MaterialsNow, lets a

17、ssume that you cannot monitor and observethe agent directly. What would you, as the agent, do?Now, can you see the agency problems here?Effort levelExpected utility of the agentE1=618,496 - 62 =100E2=518,496 - 52 =111E3=418,496 - 42 =112Is it likely to have the “adverse selection” problem?How about

18、the “moral hazard” problem?And, the horizon problem? Residual loss?Dr. Chak-Tong Chau16Fulbright Guest Lecture MaterialsWhat can we say, up to this point?Under condition of unobservability (incomplete information), fixed payments to agents (i.e. workers, employees) most likely do not work.What are t

19、hen the alternatives?We can give the principal a fixed payment instead.Or, we can come up with an “incentive compatible” conditional contract.Dr. Chak-Tong Chau17Fulbright Guest Lecture MaterialsFixed Payment to the PrincipalConsider this new contract under which the principal gets$32,750 no matter

20、what happens and the agent keeps therest. Will this work? Effort levelExpected payoff to the agentE1=6(55,000 x0.8+40,000 x0.2)-32,750-36=100.36E2=5(55,000 x0.6+40,000 x0.4)-32,750-25=98.56E3=4(55,000 x0.3+40,000 x0.7)-32,750-16=88.35Dr. Chak-Tong Chau18Fulbright Guest Lecture MaterialsFixed Payment

21、 to the PrincipalThus, numerically this will work to ensure that the agent gives the highest effort.However, there is nonetheless a loss to the principal (33,504-32,750)=754 which is in a sense a monitoring cost (maximum cost to pay for an information system to reveal the agents effort level).But th

22、e most fundamental problem is that this type of contracts violates the “risk adverse” nature of the agent. Now the agent becomes the principal!Dr. Chak-Tong Chau19Fulbright Guest Lecture MaterialsIncentive Compatible Contract Problem SetupMaximize (55,000 R55)55(e1) + (40,000-R40)40 (e1)Subject to:R

23、5555(e1) + R4040(e1) - e12 = 100R5555(e1) + R4040(e1) - e12 R5555(e2) + R4040(e2) e22R5555(e1) + R4040(e1) - e12 R5555(e3) + R4040(e3) e32Dr. Chak-Tong Chau20Fulbright Guest Lecture MaterialsIncentive Compatible Contract Specific SolutionsMaximize (55,000 R55)0.8 + (40,000-R40)0.2Subject to:R55(0.8)

24、 + R40(0.2) - 36 = 100R55(0.8) + R40(0.2) - 36 R55(0.6) + R4040(0.4) 25R55(0.8) + R40(0.2) - 36 R55(0.3) + R40(0.7) 16Solutions:R55 = 21,609 R40 = 8,464Expected payoffs:Principal = 33,020Agent = 18,980Dr. Chak-Tong Chau21Fulbright Guest Lecture MaterialsSummary of Different ContractsEvent under e1Pr

25、incipals PayoffsAgents PayoffObservableFixed Rent to Prin.Incentive Compat.ObservableFixed Rent to Prin.Incentive Compat.55,000 (p=0.8)36,50432,75033,39118,49622,25021,609 40,000 (p=0.2)21,50432,75031,53618,4967,2508,464Expected Payoffs33,50432,75033,02018,49619,25018,980Dr. Chak-Tong Chau22Fulbrigh

26、t Guest Lecture MaterialsWhat do we know from these?The best case scenario for the principal is when he can observe the agents effort level directly.The worst case scenario to the principal appears to be simply charging a fixed rent.The difference between the two ($754) represents the maximum amount

27、 to pay for an information system to reveal the agents effort.The middle, 2nd best solution (incentive compatible contract) may not always be the next best thing though!Dr. Chak-Tong Chau23Fulbright Guest Lecture MaterialsLets say that we set the two variables, R55 and R40, to be18,769 and 11,449 re

28、spectively.Effort levelExpected utility of the agentE1=6(18,769)0.8+(11,449)0.2-6 =95E2=5(18,769)0.6+(11,449)0.4-5 =100E3=4(18,769)0.3+(11,449)0.7-4 =100Now, the principal is telling the agent NOT to work hard!The $33,159 is actually better than the $33,020 under “incentive compatible” contract!Effort levelExpected utility of the principalE1=6Not a feasible solution, agents utility 100n/aE2=5(55,000-18,769)0.6+(40,000-11,449)0.4 =33,159E3=4(55,000-18,769)0.3+(40,0