Research seminar on February, 28: Kirill Romanyuk (Department of Finance)

Time: 16.50 - 18.10
Place: 3A Kantemirovskaya st., room: 343

Speaker: Kirill Romanyuk (Department of Finance, HSE Campus in St. Petersburg)

Title: Game Theoretic Aspects of the Consumer Credit Market

Abstract: Information asymmetry is a significant problem in the credit market. In the corporate lending market this problem is handled by credit rating agencies (CRA). Ratings that are produced by CRA reflects market needs in credit risk information, i.e. these ratings contain multiple values such as premium, speculative, in default (AAA, AA, A, ..., B, ..., D) . However, in the consumer credit market banks coarse credit risk assessment of their clients through a binary scale. The problem is that a binary scale doesn't reflect credit risks of private persons properly that results in higher interest rates for clients with low credit risk. Thus, these clients have an incentive to find another bank that would assess credit risks and price loans more precisely. The question is how to construct a consumer credit market in which banks would conduct precise credit risk assessment with proper loan pricing and clients would have an incentive to provide private information into a bank.