新个贷背景下个人信贷的信用风险研究

发布时间：2018-04-08 15:36

本文选题：个人信贷　切入点：信用风险　出处：《电子科技大学》2017年博士论文

【摘要】：传统商业银行个人信贷业务与网络个人信贷业务相互竞争且并存发展,形成了新的个人信贷背景,简称新个贷背景。新个贷背景下个人信贷的信用风险,是指个人信贷借款人不愿、无力偿还借款或由于交易对手违约而导致信贷机构或P2P网贷出借人遭受损失的风险。因此,新个贷背景下个人信贷的信用风险属于广义个人信用风险的研究范畴,包括了传统商业银行个人信贷业务和网络个人信贷(P2P网贷)业务中的信用风险。据统计,自2013年底我国商业银行的不良贷款率节节攀升,由个人信贷业务违约产生的不良贷款责无旁贷。P2P网贷坏账率模糊不清且远超于同期的商业银行,P2P网贷平台停业、破产、跑路的事件更是数见不鲜。新个贷背景下个人信贷的信用风险危害性日益凸显,不仅给出借人带来了重大的损失,而且给金融市场和社会的安定造成严重负面影响。新个贷背景下个人信贷的信用风险具有复杂性、可控性、演化和传染性等基本特点。基于商业银行视角的传统研究理论和方法,已不能满足新个贷背景下个人信贷的信用风险研究的需求。如何基于传统和网络个人信贷的信用风险的“共性”和“特殊性”,对新个贷背景下个人信贷的信用风险的产生、演化和有效评估等问题进行深入探讨,是本文研究的主要问题。结合新个贷背景下个人信贷业务的现实情况,本文相对系统的对新个贷背景下个人信贷的信用风险展开研究,研究工作主要体现在以下几个方面。第一,针对新个贷背景下个人信贷违约和“失信”问题事件激增的事实,本文对新个贷背景下个人信贷的信用风险产生进行探讨。一方面,本文基于还款能力、社会网络关系圈的还款情况和信贷机构的监管惩戒,通过嵌入前景理论,构建了新个贷背景下个人信贷借款人还款意愿量化模型。另一方面,基于网贷平台发展指数、出借人信任倾向、借款人芝麻信用分及投资收益等因素,本文构建了基于前景理论的P2P网贷出借人信任模型和基于网络信任的出借意愿度量模型。借助多智能体仿真方法,对个人信贷借款人还款意愿和P2P网贷出借人出借意愿的影响机理进行了分析。研究结论较好的阐释了个人信贷借款人行为决策的异质性和P2P网贷出借人的“从众”出借行为,为新个贷背景下个人信贷的信用风险产生的解释,提供了理论依据。第二,针对新个贷背景下个人信贷违约事件的群体性爆发和形成的“羊群效应”,本文对新个贷背景下个人信贷的信用风险演化问题进行探讨。本文从个人信贷借款人自身因素和环境因素两个层面,对新个贷背景下个人信贷的信用风险演化的影响因素进行分析,并在此基础上构建了个人信贷的信用风险演化模型。通过数理推导和仿真研究发现,个人信贷借款人的违约策略偏好、还款能力认知、信贷机构的监管惩戒直接影响了个人信贷的信用风险演化概率和均衡状态,社会网络近邻效应影响函数凹凸性影响了个人信贷的信用风险演化的速率,社会网络结构的异质性影响了个人信用风险的演化过程和均衡状态。新个贷背景下个人信贷的信用风险演化机理的揭示,为个人信贷违约产生的“羊群效应”提供了理论上的解释。第三,针对新个贷背景下传统商业银行不良贷款率和网络个人信贷坏账率居高不下现实情况,本文对新个贷背景下个人信贷的信用风险的有效评估进行探讨。一方面,考虑到单一、静态的评估模型不能满足新个贷背景下个人信贷的信用风险评估的需求,本文提出了一类基于logistic-聚类的个人信贷的信用风险评估模型及一类多维动态个人信贷的信用风险评估方法,并基于我国商业银行个人信贷数据,对模型的有效性进行了验证。另一方面,基于网络个人信贷的信用风险评估的“特殊性”,结合社会资本在P2P网络个人信贷和互联网征信的重要作用,本文构建了一种基于在线社会资本的网络个人信贷的信用风险评估模型,并基于搜集到的芝麻信用数据,对模型的有效性进行了检验。本文从理论和方法层面,对新个贷背景下个人信贷的信用风险产生、演化机制及有效评估等问题进行了探讨,相对的丰富和完善了基于商业银行视角的传统个人信贷的信用风险理论研究体系。同时,本文的研究将为信贷机构实现传统和网络个人信贷的信用风险管控的优势互补和个人信贷业务模式的优化创新,提供一定的理论支撑。
[Abstract]:Personal credit personal credit business of traditional commercial bank and network competition and coexistence of development, the formation of a new personal credit background, referred to as the new loan background. Under the background of new personal credit loan credit risk refers to the personal credit borrowers unable to repay the loan or not, because the counterparty default risk of credit institutions or P2P net loan if people suffer losses. Therefore, the research category of personal credit loan under the background of new credit risk belong to the personal credit risk, including the traditional commercial bank personal credit and personal credit business network (P2P net loan) credit risk in the operation. According to statistics, since the end of 2013, China's commercial banks non-performing loan rate is rise by personal credit default of non-performing loans is.P2P net loan default rate in the same period of vague and far more than commercial banks, P2P net loan platform Closure, bankruptcy, the event is run away. The credit risk of personal harm encountered with many times under the background of new credit loan has become increasingly prominent, not only to the lender will bring great losses, but also caused a serious negative impact to the financial market and the stability of society. Under the background of new personal credit loan credit risk with complexity, controllability, basic the characteristics of evolution and infectious. The traditional theories and methods of commercial banks based on the perspective, has been unable to meet the credit risk of the credit loan under the background of new demand. Based on the traditional network of personal credit and credit risk of "common" and "special", on the personal credit loan under the background of new credit risk the generation, evolution and effective appraisal problems are discussed, the main problem of this study. Combined with the reality of personal credit business of the new loan under the background of this paper. Study on the personal credit system is relatively new loan under the background of credit risk, the research work is mainly reflected in the following aspects. First, personal credit for new loan defaults and under the background of "breaking" problem an explosion of facts, the personal credit loan under the background of new credit risks are discussed in this paper. On the one hand, based on the repayment ability of repayment and credit institutions social network circle regulatory discipline, by embedding the prospect theory, established the personal credit repayment willing quantitative model under the background of new loan. On the other hand, the development index of net loan platform based on lenders trust propensity, Borrower credit and sesame investment income and other factors in this paper. The construction of P2P net loan based on the prospect theory through the trust model and trust based on network lending will model. Using multi-agent simulation method, The influence mechanism of personal credit and repayment willing P2P net loan lender willingness to lend is analyzed. The conclusion of the study can explain the personal credit decision behavior of borrower heterogeneity and P2P net loan lender "herd" lending behavior, for personal credit loan credit risk under the background of the new interpretation, provided the theoretical basis for the new loan. Second, under the background of personal credit default event group of eruption and the formation of "herding", the new personal credit loan credit risk under the background of evolution are discussed. Two aspects from the borrower's personal credit and environmental factors, the factors that influence on the new personal credit loan under the background of the evolution of credit risk analysis, and on the basis of constructing the personal credit risk model. Through mathematical derivation and Simulation Research Now, the personal credit borrowers default policy preferences, the repayment ability of cognition, credit institutions regulatory discipline directly affect individual credit risk probability and the equilibrium state, social network neighbor effect of convex function of the individual credit risk evolution rate, the heterogeneity of the social network structure affects the evolution process and balance of personal credit risk. Under the background of new personal credit loan credit risk evolution mechanism, for personal credit default generated by the "herding" provides a theoretical explanation. Third, according to the rate of non-performing loans of commercial banks under the background of the traditional new loan and personal credit network high rate of bad debts in the reality of the situation, effective evaluation the credit risk of personal credit loan under the background of the new study. On the one hand, considering the single, static evaluation model can not full Personal credit loan under the background of new credit risk assessment requirements, this paper presents a method to evaluate the credit risk assessment of logistic- clustering of personal credit model and a class of multidimensional dynamic credit based on credit risk, based on our country's commercial bank personal credit data, the validity of the model was verified on the other. On the one hand, based on the network of personal credit risk assessment of the "special", combined with the important role of social capital in personal credit credit P2P network and the Internet, the paper constructed an evaluation model of online social capital network personal credit based on credit risk, and based on the sesame credit data collected, the effectiveness of the model is tested. Based on the theory and method of personal credit level, under the background of new loan credit risks, evolution mechanism and effective evaluation problems in the To investigate the relative, enrich and improve the credit risk research system of traditional personal credit based on the perspective of commercial banks. At the same time, this study will optimize the innovation of credit risk control and the traditional network of complementary advantages and personal credit personal credit business model for credit institutions, to provide some theoretical support.

【学位授予单位】：电子科技大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.4

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