基于风险调整资本回报率模型的互联网金融网贷风险定价研究——以新巴塞尔协议为视角
发布时间：2018-11-19 18:47
【摘要】：基于某网贷平台2013年11月发放的24期贷款数据,引入新巴塞尔协议的行业风险标准构建RAROC模型,对平台定价模式下的互联网金融网贷风险定价进行分析。实证结果表明,有无违约记录、担保资格审查最近两年查询次数、性别等9个变量对借款人违约行为有显著影响;Logistic风险评估模型能较好地预测网贷违约概率,其线性变换得到的信用评分卡准确性较高;基于新巴塞尔协议的RAROC模型适用于互联网金融网贷,且比网贷平台现行的固定利率定价模式更具灵活性和风险敏感性,有利于提升网贷定价质量。
[Abstract]:Based on the data of 24 loans issued by a network loan platform in November 2013, this paper introduces the industry risk standard of the new Basel Accord to construct the RAROC model, and analyzes the risk pricing of Internet finance net loan under the platform pricing model. The empirical results show that there are 9 variables, such as the record of default, the number of inquiries in the last two years, gender and so on, which have a significant impact on the borrower's default behavior. Logistic risk assessment model can predict the default probability of net loan, and the accuracy of credit score card obtained by linear transformation is higher. The RAROC model based on the New Basel Accord is suitable for Internet loan, and is more flexible and risk sensitive than the current fixed interest rate pricing model of Internet loan platform, which is helpful to improve the pricing quality of Internet loan.
【作者单位】： 湖南大学工商管理学院;湖南省两型社会与生态文明协同创新中心;
【基金】：国家自然科学基金项目(71373072);国家自然科学基金项目(71171075) 教育部长江学者和创新团队发展计划项目(IRT0916) 湖南省两型社会与生态文明协同创新中心资助项目
【分类号】：F713.36;F831.2
本文编号：2343110
[Abstract]:Based on the data of 24 loans issued by a network loan platform in November 2013, this paper introduces the industry risk standard of the new Basel Accord to construct the RAROC model, and analyzes the risk pricing of Internet finance net loan under the platform pricing model. The empirical results show that there are 9 variables, such as the record of default, the number of inquiries in the last two years, gender and so on, which have a significant impact on the borrower's default behavior. Logistic risk assessment model can predict the default probability of net loan, and the accuracy of credit score card obtained by linear transformation is higher. The RAROC model based on the New Basel Accord is suitable for Internet loan, and is more flexible and risk sensitive than the current fixed interest rate pricing model of Internet loan platform, which is helpful to improve the pricing quality of Internet loan.
【作者单位】： 湖南大学工商管理学院;湖南省两型社会与生态文明协同创新中心;
【基金】：国家自然科学基金项目(71373072);国家自然科学基金项目(71171075) 教育部长江学者和创新团队发展计划项目(IRT0916) 湖南省两型社会与生态文明协同创新中心资助项目
【分类号】：F713.36;F831.2
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