財(cái)務(wù)管理責(zé)任管理模式

1、Principal-agent Modeling 責(zé)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第一頁，共二十七頁。1我請您們考慮一些問題A small medical insurance scenario 一個(gè)醫(yī)療保健的問題When you have a small illness, do you normally see your doctor? 當(dāng)你有小病的時(shí)候，你會不會自費(fèi)看醫(yī)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、Dr. Chak-Tong Chau2*Fulbright Guest Lecture Materials第二頁，共二十七頁。我請您們考慮一些問題A car maintenance scenario 一個(gè)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(gè)月的，它需要每月潤滑上油一次。你會不會依時(shí)地去上油？How about if this is your own car?如果這

3、是你自己的汽車，你又會不會去做？Dr. Chak-Tong Chau3*Fulbright Guest Lecture Materials第三頁，共二十七頁。我請您們考慮一些問題A medical insurance problem 自費(fèi)醫(yī)療保險(xiǎn)的問題When we purchase medical insurance, the insurance company usually requires that you disclose your medical history. Pre-conditions are usually excluded from the coverage.購買保險(xiǎn)的

4、時(shí)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(xiǎn)公司不愿意受保。Dr. Chak-Tong Chau4*Fulbright Guest Lecture Materials第四頁，共二十七頁。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(shí)地上報(bào)？What do all these tell us about certain human

5、behavior?這些問題表明了一些什么的人性行為？Dr. Chak-Tong Chau5*Fulbright Guest Lecture Materials第五頁，共二十七頁。Agency Problems and Behavior代理人的行為與問題A moral hazard problem (道德危機(jī)問題)when an individual has an incentive to deviate from the contract and take self-interested actions because the other party has insufficient info

6、rmation 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(fèi)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 Chau6*Fulbright Guest Lecture Materials第六頁，共二十七頁。Agency 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 compensation is not the same as the other partys

7、, 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(gè)月以后這車子變成怎么樣與我無關(guān)了吧。Dr. Chak-Tong Chau7*Fulbright Guest Lecture Materials第七頁，共二十七頁。Agency Problems and Behavior代理人的行為與問題An adverse selection pr

8、oblem 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(fèi)醫(yī)療保險(xiǎn):雖然我知道保險(xiǎn)公司需要知道我的病歷從而決定保險(xiǎn)費(fèi)。但是誠實(shí)的代價(jià)是較高的費(fèi)用。此外，我不說，誰知道。Dr. Chak-Tong Chau8*Fulbright Guest Lecture Material

9、s第八頁，共二十七頁。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(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，

10、更好的資訊，和對風(fēng)險(xiǎn)抱保守的態(tài)度(risk adverse)。Dr. Chak-Tong Chau9*Fulbright Guest Lecture Materials第九頁，共二十七頁。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(shè)計(jì)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 are bornt

11、 by the agent.注意的是，有時(shí)這些成本是由委托人(principal)負(fù)擔(dān)。不過有時(shí)這些成本是由代理人自己負(fù)擔(dān)的。Dr. Chak-Tong Chau10*Fulbright Guest Lecture Materials第十頁，共二十七頁。Agency CostsBonding costs costs incurred, before entering the contract, to convince the principal that such agency relationship will not result in the above-mentioned agency

12、 problems. Examples are: reputation building, 3rd party guarantor, etc.Dr. Chak-Tong Chau11*Fulbright Guest Lecture Materials第十一頁，共二十七頁。Agency CostsMonitoring costs costs incurred, after entering the contract, to ensure that such agency problems will not arise. Examples include auditing and inspecti

13、on costs.Dr. Chak-Tong Chau12*Fulbright Guest Lecture Materials第十二頁，共二十七頁。Agency 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 proble

14、ms, the principal refuses to pay the agent compensations that fully reflect his/her efforts.Dr. Chak-Tong Chau13*Fulbright Guest Lecture Materials第十三頁，共二十七頁。Examples 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,

15、000$40,000E2=5$55,000$55,000$40,000$40,000E3=4$55,000$40,000$40,000$40,000Dr. Chak-Tong Chau14*Fulbright Guest Lecture Materials第十四頁，共二十七頁。Examples of the Principal-agent ModelAgents Utility Function: Xa - e2 100 where: Xa = agents compensationse = the effort level used by the agentQuestion 1: If yo

16、u 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 principal?Dr. Chak-Ton

17、g Chau15*Fulbright Guest Lecture Materials第十五頁，共二十七頁。Now, 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 =11

18、2Is it likely to have the “adverse selection” problem?How about the “moral hazard” problem?And, the horizon problem? Residual loss?Dr. Chak-Tong Chau16*Fulbright Guest Lecture Materials第十六頁，共二十七頁。What can we say, up to this point?Under condition of unobservability (incomplete information), fixed pay

19、ments to agents (i.e. workers, employees) most likely do not work.What are then 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 Chau17*Fulbright Guest Lecture Materials第十七頁，共二十七頁。Fixed Payment to

20、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 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

21、 x0.7)-32,750-16=88.35Dr. Chak-Tong Chau18*Fulbright Guest Lecture Materials第十八頁，共二十七頁。Fixed Payment 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 moni

22、toring 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 the principal!Dr. Chak-Tong Chau19*Fulbright Guest Lecture Materials第十九

23、頁，共二十七頁。Incentive 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) e32Dr. Chak-Tong Chau20*Fulbright Guest Lecture Mater

24、ials第二十頁，共二十七頁。Incentive Compatible Contract Specific SolutionsMaximize (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:Princip

25、al = 33,020Agent = 18,980Dr. Chak-Tong Chau21*Fulbright Guest Lecture Materials第二十一頁，共二十七頁。Summary of Different ContractsEvent under e1Principals PayoffsAgents PayoffObservableFixed Rent to Prin.Incentive Compat.ObservableFixed Rent to Prin.Incentive Compat.55,000 (p=0.8)36,50432,75033,39118,49622,2

26、5021,609 40,000 (p=0.2)21,50432,75031,53618,4967,2508,464Expected Payoffs33,50432,75033,02018,49619,25018,980Dr. Chak-Tong Chau22*Fulbright Guest Lecture Materials第二十二頁，共二十七頁。What do we know from these?The best case scenario for the principal is when he can observe the agents effort level directly.T

27、he 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 to reveal the agents effort.The middle, 2nd best solution (incentive compatible contract) may not always be the next

28、 best thing though!Dr. Chak-Tong Chau23*Fulbright Guest Lecture Materials第二十三頁，共二十七頁。Lets 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 =95E2=5(18,769)0.6+(11,449)0.4-5 =100E3=4(18,769)0.3+(1

29、1,449)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+(40,000-11,449)0.7 =30,855Dr. Chak-Tong Chau24*Fulbright Guest Lecture Materials第二十四頁，共二十七頁。A Few Cautionary RemarksThis model presented here is a single-period model. Multiple-period (repeated games) can give very different answers.There can be m