財務(wù)管理之責任管理模式課件

Principal-agentModeling

責任代理模式

1Principal-agentModeling

責任代理我請您們考慮一些問題Asmallmedicalinsurancescenario一個醫(yī)療保健的問題

Whenyouhaveasmallillness,doyounormallyseeyourdoctor?

當你有小病的時候，你會不會自費看醫(yī)生？

Whatabout,ifyourfirmpayforyourexpense?

但是，如果是單位付錢呢，那又怎樣？2我請您們考慮一些問題Asmallmedicalinsu我請您們考慮一些問題Acarmaintenancescenario一個汽車維修的問題

Yourcarisbeingrentedfor2months.Supposedly,itneedsoilingeverymonth.Howlikelyyouwillremembertodoso?

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？

Howaboutifthisisyourowncar?

如果這是你自己的汽車，你又會不會去做？3我請您們考慮一些問題Acarmaintenancesc我請您們考慮一些問題Amedicalinsuranceproblem自費醫(yī)療保險的問題

Whenwepurchasemedicalinsurance,theinsurancecompanyusuallyrequiresthatyoudiscloseyourmedicalhistory.Pre-conditionsareusuallyexcludedfromthecoverage.

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。4我請您們考慮一些問題Amedicalinsurance我請您們考慮一些問題

Ifyoudoinfacthavesomemajormedicalproblemsthatrequireexpensivetreatments,wouldyoudisclosetheseproblems?

如果你真的有大病,你會不會真實地上報？

Whatdoallthesetellusaboutcertainhumanbehavior?

這些問題表明了一些什么的人性行為？5我請您們考慮一些問題 IfyoudoinfacthAgencyProblemsandBehavior

代理人的行為與問題Amoralhazardproblem(道德危機問題)

whenanindividualhasanincentivetodeviatefromthecontractandtakeself-interestedactionsbecausetheotherpartyhasinsufficientinformationtoknowifthecontractwashonored.

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。6AgencyProblemsandBehavior

代AgencyProblemsandBehavior

代理人的行為與問題Ahorizonproblem水平界線問題

Ifoneparty’sriskorcompensationisnotthesameastheotherparty’s,theonewithashorterhorizonwilltendtosecretlymaximizetheshort-termbenefits,attheexpenseoftheotherlonger-termparty.

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(guān)了吧。7AgencyProblemsandBehavior

代AgencyProblemsandBehavior

代理人的行為與問題Anadverseselectionproblem逆向選擇問題

Thetendencyofindividualswithprivateinformationaboutsomethingthataffectsapotentialtradingpartner’sbenefitstomakeoffersthataredetrimentaltothetradingpartner.

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。8AgencyProblemsandBehavior

代誰是代理人？什么是代理成本？Anagentissomeonewhohascertainspecialexpertisethatisdesiredbytheprincipaltouseforhis/herbenefits.Theagentisusuallyriskadverse,hasdecisionrightstomanage,butdoesnotown,theorganization’sassets.

代理人(agent)是任何人在公司有決策權(quán)力，但是并非產(chǎn)權(quán)的最終所有者。代理人通常有較佳的專長，更好的資訊，和對風(fēng)險抱保守的態(tài)度(riskadverse)。9誰是代理人？什么是代理成本？Anagentissome誰是代理人？什么是代理成本？Therearethree(3)typesofagencycosts.代理成本有三類：設(shè)計限制性契約的成本(bondingcosts)建立監(jiān)督制度的成本(monitoringcosts)剩餘的損耗(residualloss)Notethatsomecostsareborntbytheprincipalbutsomeareborntbytheagent.

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。10誰是代理人？什么是代理成本？TherearethreeAgencyCostsBondingcosts–costsincurred,beforeenteringthecontract,toconvincetheprincipalthatsuchagencyrelationshipwillnotresultintheabove-mentionedagencyproblems.Examplesare:reputationbuilding,3rdpartyguarantor,etc.11AgencyCostsBondingcosts–coAgencyCostsMonitoringcosts–costsincurred,afterenteringthecontract,toensurethatsuchagencyproblemswillnotarise.Examplesincludeauditingandinspectioncosts.12AgencyCostsMonitoringcosts–AgencyCostsResidualloss–lossunavoidablyarise,despitethebondingandmonitoringcosts,thecontractstillcannotyieldtheutmostbenefits,because:theagencyproblemsdoarise,orduetothesuspicionoftheagencyproblems,theprincipalrefusestopaytheagentcompensationsthatfullyreflecthis/herefforts.13AgencyCostsResidualloss–loExamplesofthePrincipal-agentModelEffortlevelProbabilitiesandpayoffsfor4differenteventsS1=0.3S2=0.3S3=0.2S4=0.2E1=6$55,000$55,000$55,000$40,000E2=5$55,000$55,000$40,000$40,000E3=4$55,000$40,000$40,000$40,00014ExamplesofthePrincipal-agenExamplesofthePrincipal-agentModelAgent’sUtilityFunction:Xa?-e2

100where: Xa=agent’scompensations e=theeffortlevelusedbytheagent Question1:Ifyouweretheprincipalinenteringthecontract,whichlevelofeffort(e1,e2,ore3)wouldyoudemand?Question2:Ifyou,theprincipal,cancloselymonitorandobservetheagentatalltime,whataretheamountandconditionofpayment?And,whatistheexpectedpayofffortheprincipal?15ExamplesofthePrincipal-agenNow,let’sassumethatyoucannotmonitorandobservetheagentdirectly.Whatwouldyou,astheagent,do?Now,canyouseetheagencyproblemshere?EffortlevelExpectedutilityoftheagentE1=618,496?-62=100E2=518,496?-52=111E3=418,496?-42=112Isitlikelytohavethe“adverseselection”problem?Howaboutthe“moralhazard”problem?And,thehorizonproblem?Residualloss?16Now,let’sassumethatyoucanWhatcanwesay,uptothispoint?Underconditionofunobservability(incompleteinformation),fixedpaymentstoagents(i.e.workers,employees)mostlikelydonotwork.Whatarethenthealternatives?Wecangivetheprincipalafixedpaymentinstead.Or,wecancomeupwithan“incentivecompatible”conditionalcontract.17Whatcanwesay,uptothispoFixedPaymenttothePrincipalConsiderthisnewcontractunderwhichtheprincipalgets$32,750nomatterwhathappensandtheagentkeepstherest.Willthiswork?EffortlevelExpectedpayofftotheagentE1=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=88.3518FixedPaymenttothePrincipalFixedPaymenttothePrincipalThus,numericallythiswillworktoensurethattheagentgivesthehighesteffort.However,thereisnonethelessalosstotheprincipal(33,504-32,750)=754whichisinasenseamonitoringcost(maximumcosttopayforaninformationsystemtorevealtheagent’seffortlevel).Butthemostfundamentalproblemisthatthistypeofcontractsviolatesthe“riskadverse”natureoftheagent.Nowtheagentbecomestheprincipal!19FixedPaymenttothePrincipalIncentiveCompatibleContract–ProblemSetupMaximize(55,000–R55)Φ55(e1)+(40,000-R40)Φ40(e1)Subjectto:R55?Φ55(e1)+R40?Φ40(e1)-e12=100 R55?Φ55(e1)+R40?Φ40(e1)-e12R55?Φ55(e2)+R40?Φ40(e2)–e22R55?Φ55(e1)+R40?Φ40(e1)-e12R55?Φ55(e3)+R40?Φ40(e3)–e3220IncentiveCompatibleContractIncentiveCompatibleContract–SpecificSolutionsMaximize(55,000–R55)0.8+(40,000-R40)0.2Subjectto:R55?(0.8)+R40?(0.2)-36

=100 R55?(0.8)+R40?(0.2)-36

R55?(0.6)+R40?Φ40(0.4)–25R55?(0.8)+R40?(0.2)-36

R55?(0.3)+R40?(0.7)–16Solutions: R55=21,609 R40=

8,464Expectedpayoffs: Principal = 33,020 Agent = 18,98021IncentiveCompatibleContractSummaryofDifferentContractsEventundere1Principal’sPayoffsAgent’sPayoffObservableFixedRenttoPrin.IncentiveCompat.ObservableFixedRenttoPrin.IncentiveCompat.55,000(p=0.8)36,50432,75033,39118,49622,25021,60940,000(p=0.2)21,50432,75031,53618,4967,2508,464ExpectedPayoffs33,50432,75033,02018,49619,25018,98022SummaryofDifferentContractsWhatdoweknowfromthese?Thebestcasescenariofortheprincipaliswhenhecanobservetheagent’seffortleveldirectly.Theworstcasescenariototheprincipalappearstobesimplychargingafixedrent.Thedifferencebetweenthetwo($754)representsthemaximumamounttopayforaninformationsystemtorevealtheagent’seffort.Themiddle,2ndbestsolution(incentivecompatiblecontract)maynotalwaysbethenextbestthingthough!23Whatdoweknowfromthese?TheLet’ssaythatwesetthetwovariables,R55andR40,tobe18,769and11,449respectively.EffortlevelExpectedutilityoftheagentE1=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,theprincipalistellingtheagentNOTtoworkhard!The$33,159isactuallybetterthanthe$33,020under“incentivecompatible”contract!EffortlevelExpectedutilityoftheprincipalE1=6Notafeasiblesolution,agent’sutility<100n/aE2=5(55,000-18,769)0.6+(40,000-11,449)0.4

=33,159E3=4(55,000-18,769)0.3+(40,000-11,449)0.7

=30,85524Let’ssaythatwesetthetwoAFewCautionaryRemarksThismodelpresentedhereisasingle-periodmodel.Multiple-period(repeatedgames)cangiveverydifferentanswers.Therecanbemultipleprincipalsaswellasmultipleagentsinthemodel.Suchmodels,however,becomeextremelycomplex.Informationsystemsarenotconsideredhere.25AFewCautionaryRemarksThismConcludingRemarksThePrincipal-agentmodelistheoreticalelegantbutmathematicallytedioustouse.Empirical(real-life)evidenceseemstosupportthemodelwell.Thechallenges,inmyopinion,include:tocomeupwithuseful,testablehypotheses;toextendthemodeltomorecomplex,butrealbusinesssituations;toencourageresearcherstoteachnewcomersthebasicskillinunderstandingthemodelratherthansimplytopublishin“ivory-tower”typeofjournals.26ConcludingRemarksThePrincipaPrincipal-agentModeling

責任代理模式

27Principal-agentModeling

責任代理我請您們考慮一些問題Asmallmedicalinsurancescenario一個醫(yī)療保健的問題

Whenyouhaveasmallillness,doyounormallyseeyourdoctor?

當你有小病的時候，你會不會自費看醫(yī)生？

Whatabout,ifyourfirmpayforyourexpense?

但是，如果是單位付錢呢，那又怎樣？28我請您們考慮一些問題Asmallmedicalinsu我請您們考慮一些問題Acarmaintenancescenario一個汽車維修的問題

Yourcarisbeingrentedfor2months.Supposedly,itneedsoilingeverymonth.Howlikelyyouwillremembertodoso?

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？

Howaboutifthisisyourowncar?

如果這是你自己的汽車，你又會不會去做？29我請您們考慮一些問題Acarmaintenancesc我請您們考慮一些問題Amedicalinsuranceproblem自費醫(yī)療保險的問題

Whenwepurchasemedicalinsurance,theinsurancecompanyusuallyrequiresthatyoudiscloseyourmedicalhistory.Pre-conditionsareusuallyexcludedfromthecoverage.

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。30我請您們考慮一些問題Amedicalinsurance我請您們考慮一些問題

Ifyoudoinfacthavesomemajormedicalproblemsthatrequireexpensivetreatments,wouldyoudisclosetheseproblems?

如果你真的有大病,你會不會真實地上報？

Whatdoallthesetellusaboutcertainhumanbehavior?

這些問題表明了一些什么的人性行為？31我請您們考慮一些問題 IfyoudoinfacthAgencyProblemsandBehavior

代理人的行為與問題Amoralhazardproblem(道德危機問題)

whenanindividualhasanincentivetodeviatefromthecontractandtakeself-interestedactionsbecausetheotherpartyhasinsufficientinformationtoknowifthecontractwashonored.

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。32AgencyProblemsandBehavior

代AgencyProblemsandBehavior

代理人的行為與問題Ahorizonproblem水平界線問題

Ifoneparty’sriskorcompensationisnotthesameastheotherparty’s,theonewithashorterhorizonwilltendtosecretlymaximizetheshort-termbenefits,attheexpenseoftheotherlonger-termparty.

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(guān)了吧。33AgencyProblemsandBehavior

代AgencyProblemsandBehavior

代理人的行為與問題Anadverseselectionproblem逆向選擇問題

Thetendencyofindividualswithprivateinformationaboutsomethingthataffectsapotentialtradingpartner’sbenefitstomakeoffersthataredetrimentaltothetradingpartner.

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。34AgencyProblemsandBehavior

代誰是代理人？什么是代理成本？Anagentissomeonewhohascertainspecialexpertisethatisdesiredbytheprincipaltouseforhis/herbenefits.Theagentisusuallyriskadverse,hasdecisionrightstomanage,butdoesnotown,theorganization’sassets.

代理人(agent)是任何人在公司有決策權(quán)力，但是并非產(chǎn)權(quán)的最終所有者。代理人通常有較佳的專長，更好的資訊，和對風(fēng)險抱保守的態(tài)度(riskadverse)。35誰是代理人？什么是代理成本？Anagentissome誰是代理人？什么是代理成本？Therearethree(3)typesofagencycosts.代理成本有三類：設(shè)計限制性契約的成本(bondingcosts)建立監(jiān)督制度的成本(monitoringcosts)剩餘的損耗(residualloss)Notethatsomecostsareborntbytheprincipalbutsomeareborntbytheagent.

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。36誰是代理人？什么是代理成本？TherearethreeAgencyCostsBondingcosts–costsincurred,beforeenteringthecontract,toconvincetheprincipalthatsuchagencyrelationshipwillnotresultintheabove-mentionedagencyproblems.Examplesare:reputationbuilding,3rdpartyguarantor,etc.37AgencyCostsBondingcosts–coAgencyCostsMonitoringcosts–costsincurred,afterenteringthecontract,toensurethatsuchagencyproblemswillnotarise.Examplesincludeauditingandinspectioncosts.38AgencyCostsMonitoringcosts–AgencyCostsResidualloss–lossunavoidablyarise,despitethebondingandmonitoringcosts,thecontractstillcannotyieldtheutmostbenefits,because:theagencyproblemsdoarise,orduetothesuspicionoftheagencyproblems,theprincipalrefusestopaytheagentcompensationsthatfullyreflecthis/herefforts.39AgencyCostsResidualloss–loExamplesofthePrincipal-agentModelEffortlevelProbabilitiesandpayoffsfor4differenteventsS1=0.3S2=0.3S3=0.2S4=0.2E1=6$55,000$55,000$55,000$40,000E2=5$55,000$55,000$40,000$40,000E3=4$55,000$40,000$40,000$40,00040ExamplesofthePrincipal-agenExamplesofthePrincipal-agentModelAgent’sUtilityFunction:Xa?-e2

100where: Xa=agent’scompensations e=theeffortlevelusedbytheagent Question1:Ifyouweretheprincipalinenteringthecontract,whichlevelofeffort(e1,e2,ore3)wouldyoudemand?Question2:Ifyou,theprincipal,cancloselymonitorandobservetheagentatalltime,whataretheamountandconditionofpayment?And,whatistheexpectedpayofffortheprincipal?41ExamplesofthePrincipal-agenNow,let’sassumethatyoucannotmonitorandobservetheagentdirectly.Whatwouldyou,astheagent,do?Now,canyouseetheagencyproblemshere?EffortlevelExpectedutilityoftheagentE1=618,496?-62=100E2=518,496?-52=111E3=418,496?-42=112Isitlikelytohavethe“adverseselection”problem?Howaboutthe“moralhazard”problem?And,thehorizonproblem?Residualloss?42Now,let’sassumethatyoucanWhatcanwesay,uptothispoint?Underconditionofunobservability(incompleteinformation),fixedpaymentstoagents(i.e.workers,employees)mostlikelydonotwork.Whatarethenthealternatives?Wecangivetheprincipalafixedpaymentinstead.Or,wecancomeupwithan“incentivecompatible”conditionalcontract.43Whatcanwesay,uptothispoFixedPaymenttothePrincipalConsiderthisnewcontractunderwhichtheprincipalgets$32,750nomatterwhathappensandtheagentkeepstherest.Willthiswork?EffortlevelExpectedpayofftotheagentE1=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=88.3544FixedPaymenttothePrincipalFixedPaymenttothePrincipalThus,numericallythiswillworktoensurethattheagentgivesthehighesteffort.However,thereisnonethelessalosstotheprincipal(33,504-32,750)=754whichisinasenseamonitoringcost(maximumcosttopayforaninformationsystemtorevealtheagent’seffortlevel).Butthemostfundamentalproblemisthatthistypeofcontractsviolatesthe“riskadverse”natureoftheagent.Nowtheagentbecomestheprincipal!45FixedPaymenttothePrincipalIncentiveCompatibleContract–ProblemSetupMaximize(55,000–R55)Φ55(e1)+(40,000-R40)Φ40(e1)Subjectto:R55?Φ55(e1)+R40?Φ40(e1)-e12=100 R55?Φ55(e1)+R40?Φ40(e1)-e12R55?Φ55(e2)+R40?Φ40(e2)–e22R55?Φ55(e1)+R40?Φ40(e1)-e12R55?Φ55(e3)+R40?Φ40(e3)–e3246IncentiveCompatibleContractIncentiveCompatibleContract–SpecificSolutionsMaximize(55,000–R55)0.8+(40,000-R40)0.2Subjectto:R55?(0.8)+R40?(0.2)-36

=100 R55?(0.8)+R40?(0.2)-36

R55?(0.6)+R40?Φ40(0.4)–25R55?(0.8)+R40?(0.2)-36

R55?(0.3)+R40?(0.7)–16Solutions: R55=21,609 R40=

8,464Expectedpayoffs: Principal = 33,020 Agent = 18,98047IncentiveCompatibleContractSummaryofDifferentContractsEventundere1Principal’sPayoffsAgent’sPayoffObservableFixedRenttoPrin.IncentiveCompat.ObservableFixedRenttoPrin.IncentiveCompat.55,000(p=0.8)36,50432,75033,39118,49622,25021,60940,000(p=0.2)21,50432,75031,53618,4967,2508,464ExpectedPayoffs33,50432,75033,02018,49619,25018,98048SummaryofDifferentContractsWhatdoweknowfromthese?Thebestcasescenariofortheprincipaliswhenhecanobservethe