财务管理-责任管理模式

1、Principal-agent Modeling 責任代理模式1我請您們考慮一些問題A small medical insurance scenario 一個醫療保健的問題When you have a small illness, do you normally see your doctor? 當你有小病的時候，你會不會自費看醫生？What about, if your firm pay for your expense?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A car maintenance scenario 一個汽車維修的問題Your car is being ren

2、ted 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 this is your own car?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A medical insurance problem 自費醫療保險的問題When we purchase medical insurance, the insurance company usually

3、requires that you disclose your medical history. Pre-conditions are usually excluded 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。4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？

4、What 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？5Agency Problems and Behavior代理人的行為与問題A moral hazard problem (道德危机問題)when an individual has an incentive to deviate from the contract and take self-interested actions because the other party has insufficient information to know

5、if the contract was honored.醫療保健 雖然我知道我与雇主的契約明确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。6Agency Problems and Behavior代理人的行為与問題A horizon problem 水平界線問題If one partys risk or compensation is not the same as the other partys, the one with a shorter horizon will tend to secretly maximize the short-term

6、 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与我無關了吧。7Agency Problems and Behavior代理人的行為与問題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

7、offers that are detrimental to the trading partner.自費醫療保險:雖然我知道保險公司需要知道我的病歷從而決定保險費。但是誠實的代价是較高的費用。此外，我不說，誰知道。8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 man

8、age, 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度(risk adverse)。9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)建立監督制度的成本 (monitoring costs)剩餘的損耗 (residual loss)Note that some costs are bornt

9、 by the principal but some are 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。10Agency CostsBonding costs costs incurred, before entering the contract, to convince the principal that such agency relationship will not result in the above-mentioned agency problems. Examples are: r

10、eputation building, 3rd party guarantor, etc.11Agency CostsMonitoring costs costs incurred, after entering the contract, to ensure that such agency problems will not arise. Examples include auditing and inspection costs.12Agency CostsResidual loss loss unavoidably arise, despite the bonding and moni

11、toring 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 pay the agent compensations that fully reflect his/her efforts.13Examples of the Principal-agent ModelEffort levelProbabili

12、ties 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$40,000E3=4$55,000$40,000$40,000$40,00014Examples of the Principal-agent ModelAgents Utility Function: Xa - e2 100 where: Xa = agents compensationse = the effort level used by the

13、agentQuestion 1: If you were the principal in entering the contract, which 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

14、principal?15Now, lets assume 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 select

15、ion” problem?How about the “moral hazard” problem?And, the horizon problem? Residual loss?16What 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 then the alternatives?We can

16、give the principal a fixed payment instead.Or, we can come up with an “incentive compatible” conditional contract.17Fixed Payment to the PrincipalConsider this new contract under which the principal gets$32,750 no matter what happens and the agent keeps therest. Will this work? Effort levelExpected

17、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=88.3518Fixed Payment to the PrincipalThus, numerically this will work to ensure that the agent gives the highest effort.However, there is nonetheless

18、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 the most fundamental problem is that this type of contracts violates the “risk adverse” nature of the agent. Now the agent becomes t

19、he principal!19Incentive Compatible Contract Problem SetupMaximize (55,000 R55)55(e1) + (40,000-R40)40 (e1)Subject to:R5555(e1) + R4040(e1) - e12 = 100R5555(e1) + R4040(e1) - e12 R5555(e2) + R4040(e2) e22R5555(e1) + R4040(e1) - e12 R5555(e3) + R4040(e3) e3220Incentive Compatible Contract Specific So

20、lutionsMaximize (55,000 R55)0.8 + (40,000-R40)0.2Subject to:R55(0.8) + 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 = 18,98021Summary of Different Contract

21、sEvent under e1Principals 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 Payoffs33,50432,75033,02018,49619,25018,98022What do w

22、e 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 to pay for an information system

23、to reveal the agents effort.The middle, 2nd best solution (incentive compatible contract) may not always be the next best thing though!23Lets say that we set the two variables, R55 and R40, to be18,769 and 11,449 respectively.Effort levelExpected utility of the agentE1=6(18,769)0.8+(11,449)0.2-6 =95

24、E2=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)