چكيده به لاتين
The strategies for non-performing loan resolution vary widely and are often complex and burdensome. There is no common yardstick for how to decide whether an asset should be sold or kept. The decision can depend on a ratio between the net present value and market attractiveness. Although there are three primary methods by which NPLs are sold: private sale, securitization, and auction, the best and most effective solution for resolving toxic assets would be a well-designed auction. Due to this fact, it represents a significant opportunity to tackle the next wave of NPLs via e-auctions. This study aims to model, for the first time, the Hybrid Dutch Auction (HDA) for the online sale of NPLs. A sequence of stages in the HDA, namely the Dutch, sealed-bid, and best bid stages, can simultaneously address the most important concerns in auctions: entry deterrence, collusion, price discovery, and overpayment. The transparent e-platform lowers the cost of the auction and eliminates the restricted access and intricate monitoring issues that are common in e-auctions of government-owned assets.
The HDA includes Dutch, Sealed-bid, and Best bid stages, and their equilibria are derived via backward induction. Theoretically and with a simulation, the study compares the HDA with the Amsterdam, the optimal auction, and the first-price and English auctions in symmetric and asymmetric environments. The results indicate that the HDA outperforms the other formats under different competition levels and the possibility of collusion.
Auctions have been categorized exclusively as common value (CV) or private value (PV). Due to the different cost structures of buyers and demand uncertainty, few studies would dispute that most real-world auctions have both elements. For the first time, this paper models a hybrid auction with both PV and CV components. We nest two auction theory paradigms for the HDA with a two-dimensional signal model and report a strategic analysis of equilibrium bidding behavior. The findings reveal that: (1) increased competition can mitigate the negative effect of uncertainty about the CV on revenues and bidding behavior; and (2) dynamic inconsistency benefits both parties. (3) Interestingly, the correct answer to the dilemma between attracting more buyers and gathering more information depends on the precision of the seller’s disclosed information.
Auctions, especially public asset ones, are inherently risky. For the first time, we model the HDA with risk-averse bidders. The study also suggests some improvements to the HDA's design that would allow for higher expected revenues. We explicitly derive the symmetric equilibrium for bidders with constant absolute risk aversion (CARA) and risk-neutral utilities. Strategic analysis of equilibrium bidding behavior and experimental results reveals that as risk aversion rises, so does the bid function. The study reveals that the HDA becomes efficient when expected values and revenues are considered. It also discusses whether participating in the Dutch part or delaying it until the second stage more favors the parties. Finally, analysis reveals that the HDA under risk aversion definitely yields more revenues than the first price, English, and premium auctions when expected values are taken into account.
The findings of the case study confirmed the theoretical and simulation-based experiments' results. Based on the results, the management applications resulting from the application of this model in the online auction of non-performing loans were presented, which can be used for our country, Iran, due to the high level of non-performing loans in the banking network and especially due to the vulnerability of borrowers and businesses to the crisis of the Corona epidemic.
