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1.
选取Lending Club 2007年1月至2016年3月的交易数据,运用Multinomial Lasso-logistic模型得到影响平台违约的关键因素并预测了违约概率.结果表明,出借人实际借款的总额、借款利率等因素对违约有显著的影响,此外与以往研究不同的是,发现由借款人提供的借款描述和借款标题等文本信息与违约之间显著负相关,说明当借款人提供更多的文本信息,将表现出相对较低的违约率.研究结论补充了现有文献的不足,对P2P平台的监管和投资者的决策提供了借鉴意义.  相似文献   

2.
《数理统计与管理》2019,(3):561-570
本文基于双边市场理论对网络借贷平台进行模型研究和实证检验,采用格兰杰因果检验方法对典型网络借贷平台样本进行了实证分析,研究结果表明借款人和出借人之间存在交叉网络外部性;且相比出借人而言,借款人是"鸡与蛋"问题的关键点。进而,本文构建了关于网络借贷行业的竞争性双边市场模型。我们发现的证据表明,出借人会寻求高利率的投资标的,借款人会寻求低利率的资金。同时,网络借贷平台上双边用户的数量与用户规模、撮合利率、交易量、借款期限等有关。本文的研究结果意味着,网络借贷平台发展的关键在于拓展借款人市场和平台交易规模,从而提升双边用户的外部性。  相似文献   

3.
研究存货质押贷款中,当信贷人对借款人质押前违约概率信息不对称时,考虑借款人信号发送行为时对借款人的甄别.运用信息经济学,在Danny Ben-shahar抵押贷款模型基础上,考虑质物价格风险,证明信贷人以利率和贷款价值工具实现信号发送——甄别分离均衡.结论是借款人首先通过真实信号发送获得真实信用评级,且在每一评级内部,存在高风险借款人选择(高利率,高贷款价值比)合同,低风险借款人选择(低利率,低贷款价值比)合同的分离均衡.  相似文献   

4.
房价涨幅过快过高在中国房产市场已经是一个不容回避的问题.房产期权作为一种平衡买卖双方利益进行风险管理的有效工具应运而生.在Black-Scholes定价模型的基础上,考虑违约风险和交易费用这两个影响房产期权定价的重要因素,采用未定权益思想方法和△-对冲技巧建立了房产期权的定价模型,然后对模型进行求解,获得相应的数学公式,为考虑具有违约风险和交易费用影响下房产期权进行定价.  相似文献   

5.
随着"互联网+农业"的逐步深入,涉农P2P网贷将成为缓解农民借款难的有效途径,建立涉农P2P网贷项目优选模型对保障资金借出者的资金安全和收益具有很好的现实意义.根据ECIRM模型从5个维度建立衡量信用风险及还款能力的涉农P2P网贷项目评价指标体系,在资金借出者根据自己的要求对借款项目初步筛选的基础上,建立网贷项目优选模型,利用熵权灰色关联TOPSIS法对网贷项目进行优选排序,为出资者决策提供参考依据.  相似文献   

6.
搭便车现象是P2P网络中普遍存在的问题,当网络中存在大量的搭便车节点时,会导致网络拥塞,降低网络性能,甚至导致整个系统崩溃.对目前主要的搭便车行为进行统计,分析搭便车行为产生的机理以及对网络造成的影响.从信任机制、激励机制、演化博弈和效用4个方面对搭便车行为抑制策略进行研究分析,并通过仿真实验对经典算法进行验证.最后对搭便车行为抑制机制的未来研究方向进行展望.  相似文献   

7.
基于对天山北坡经济带450个家庭的调查数据,通过构建双变量logistic模型,对该地区农户正规金融与非正规金融借款行为的影响因素进行估算.研究得到以下基本结论:1)影响农户借款行为的关键性和主要因素是农户家庭的特征;2)金融环境对农户借款行为影响显著;3)受民族聚居的影响,民族这一因素对地区农户借款的可获得性有所差异,对非正规金融借款行为的影响度高于对正规金融借款行为的影响.  相似文献   

8.
近年来P2P网络借贷作为一种典型的互联网金融模式获得了跳跃式的发展,由于借贷双方信息不对称,导致我国P2P网贷市场利率普遍偏高。本文利用双边随机前沿分析(SFA)方法对我国P2P网贷市场借贷双方利率主导权力进行测算,并对借贷双方的主导权力对贷款利率的影响效应进行定量分析,同时对借款者个体特征对借贷双方利率主导权力的影响进行比较分析。实证结果表明,出借方拥有明显的主导权力,随着学历、年龄、收入、信用等级的增高,借款人地位将有所改善。  相似文献   

9.
《数理统计与管理》2013,(4):676-684
本文通过问卷调查,获得了大学生网购三大影响因素(网络购物特点、商品因素、个人情感因素)的数据信息,利用层次分析法、Logistic回归模型、方差分析等方法结合所调查样本特征变量对大学生网购冲动行为的影响因素进行研究。结论表明,商品因素及浏览网络时间会显著影响大学生网购冲动行为。  相似文献   

10.
随着交易数据和信用数据的积累和完善,网络借贷的利率定价机制逐步演化到平台直接标价的形式。国内一家代表性网络借贷平台经历了这一变化,本文用倾向性分数匹配法对这一变化进行估计。研究发现,平台识别风险的效率提高,改善了贷款质量,表现为违约率的降低。标价机制上调了原本狭窄的期限利率区分度,改善了平台呈现的信息质量,从而影响了投资人的投标行为,获得了更快的投标速度、更高的投标比例以及更弱的羊群行为。相对于平台原先"借款人选择利率-平台审核借款人"的利率形成机制,平台标价具有信息优势,能够根据大数据对借款人的风险进行准确定价,利率区分度的提高改善了平台的信息质量,并影响了投资人的投标行为。加入利率区分度的模型很好地解释了上述变化。这说明,标价机制实现了更高的定价效率,达到了改善平台经营的目的。  相似文献   

11.
The authors describe the structural solution of the loan rate as a function of default and response risk that maximizes expected return on equity for a lender's portfolio of risky loans. Under the assumptions of our model, the non-linear differential equation for the optimizing price is found to be separable in transformed financial, response and risk variables. With an end-point condition where default-free borrowers are willing to borrow at loan rates higher than the lender's cost of funds, general solutions are obtained for cases where default probabilities may depend explicitly on the offered loan rate and where adverse selection may or may not be present. For the general solution, we suggest a numerical algorithm that involves the sequential solutions of two separate transcendental equations each one of which depends on parameters of the risk and response scores. For the special case where the borrower's default probability is conditionally independent of loan rate, it is shown that the optimal solution is independent of Basel regulations on equity capital.  相似文献   

12.
以存款利息支出率、费用支出率、预期违约损失率、目标利润率等4个定价指标作为输入,以贷款利率作为输出,采用支持向量机回归算法建立基于区间效率的贷款定价模型.创新与特色一是通过区间数形式来反映预期违约损失率、目标利润率、费用支出率等,改变了现有研究将目标利润、贷款费用、违约损失等变量看作确定性数值来定价的现状.使贷款利率更具有竞争性.二是通过比较不同核函数、核参数下的训练样本的贷款效率区间与合理的贷款效率区间的匹配程度,确定贷款定价模型最优的核函数和核参数,进而建立了贷款定价模型.间接解决了在考虑贷款价格能否被银行、客户接受情况下贷款利率确定的问题.  相似文献   

13.
现有的贷款保险定价模型通常忽略了违约门槛和提前违约对贷款损失的影响。本文基于障碍期权中的向下敲入看跌期权,将这两个重要因素纳入到了新的贷款保险定价模型中。进一步,本文通过蒙特卡洛模拟的方法,给出了贷款保险敲入概率和敲入时间点的估计过程。此外,本文将新构建的贷款保险定价模型应用于实际中,并进行了实证分析。结果表明,违约门槛的上升会提高贷款保险的定价水平和敲入概率,并导致更早的敲入时间点。而银行降低对企业违约情况的观察频率会引起贷款保险的价值损失。  相似文献   

14.
董辰珂 《运筹与管理》2020,29(1):165-175
随着网络借贷的发展,学术界对网络借贷的研究逐渐深入。利率定价机制是网络借贷机制设计的核心,体现了金融的本质——对风险的定价,并逐渐成为学术研究的话题。Wei和Lin[1]曾记录和分析了美国网络借贷机制变更的过程。本文选用国内一家代表性的网络借贷平台数据,用倾向性分数匹配法对其利率定价机制变化前后的交易行为进行研究,发现当平台收窄了利率区间且降低了合格借款人的审核通过率,违约率反而更高。狭窄的利率区间降低了利率区分度,而利率区分度是投资人判断具体贷款所处风险水平的重要依据,实际上恶化了信息不对称,影响投资人投资行为,具体表现为满标时间延长、单笔贷款投标占比减少,并且投资人羊群行为加重。本文以期限利率周度标准差为利率区间的代理变量,解释了上述变化产生的原因。平台收窄利率区间,降低了贷款质量优劣的区分度,使得平台和投资人风险识别效率降低,未能达到平台运营优化的结果。本文丰富了网络借贷的学术研究,为网络借贷利率定价机制的发展提供参考。  相似文献   

15.
Credit scoring systems are based on Operational Research and statistical models which seek to identify who of previous borrowers did or did not default on loans. This study looks at the question when will borrowers default not if they will default. It suggests that some of the reliability modelling approaches may be useful in this context and may help identify who will default as well as when they may default.  相似文献   

16.
Some models of loan default are binary, simply modelling the probability of default, while others go further and model the extent of default (eg number of outstanding payments; amount of arrears). The double-hurdle model, originally due to Cragg (Econometrica, 1971), and conventionally applied to household consumption or labour supply decisions, contains two equations, one which determines whether or not a customer is a potential defaulter (the ‘first hurdle’), and the other which determines the extent of default. In separating these two processes, the model recognizes that there exists a subset of the observed non-defaulters who would never default whatever their circumstances. A Box-Cox transformation applied to the dependent variable is a useful generalization to the model. Estimation is relatively easy using the Maximum Likelihood routine available in STATA. The model is applied to a sample of 2515 loan applicants for whom loans were approved, a sizeable proportion of whom defaulted in varying degrees. The dependent variables used are amount in arrears and number of days in arrears. The value of the hurdle approach is confirmed by finding that certain key explanatory variables have very different effects between the two equations. Most notably, the effect of loan amount is strongly positive on arrears, while being U-shaped on the probability of default. The former effect is seriously under-estimated when the first hurdle is ignored.  相似文献   

17.
本通过对比住房抵押贷款和汽车消费贷款的违约特性,得出在利率由央行统一规定的条件下,对住房抵押贷款和汽车消费贷款,实行同样的首付款政策是不合理的,这导致目前汽车消费贷款的违约率居高不下。对于住房抵押贷款,银行可以适当降低首付款,来提高本银行住房抵押贷款在市场的竞争力,对于汽车消费贷款,可以通过采取提高汽车贷款首付款的措施,来降低违约率,控制抵押贷款风险。  相似文献   

18.
中国住房抵押贷款信用风险:理论分析与实证研究   总被引:1,自引:0,他引:1  
住房抵押贷款为中国经济的持续增长增添了新的动力,随着规模扩大,其信用风险问题已经引起金融机构、政府部门及学者的关注.在分析中国房地产市场特点的基础上研究了适应中国住房抵押贷款违约的理论以及影响住房抵押贷款违约的因素,并通过采集大连市的数据进行了实证分析,首次运用实际数据来比选适应中国市场的理论模型.我们的研究发现:在中国住房抵押贷款市场上,贷款违约的还款能力理论较之于期权理论有着更好的适应性;利率、LTV、偿债比与户籍是影响住房抵押贷款违约的主要因素;也得出另外几个不同于理论假说的结论:家庭收入对借款人违约的影响力不明显,购买二手住房的借款人的违约概率要比新房高.  相似文献   

19.
Mixture cure models were originally proposed in medical statistics to model long-term survival of cancer patients in terms of two distinct subpopulations - those that are cured of the event of interest and will never relapse, along with those that are uncured and are susceptible to the event. In the present paper, we introduce mixture cure models to the area of credit scoring, where, similarly to the medical setting, a large proportion of the dataset may not experience the event of interest during the loan term, i.e. default. We estimate a mixture cure model predicting (time to) default on a UK personal loan portfolio, and compare its performance to the Cox proportional hazards method and standard logistic regression. Results for credit scoring at an account level and prediction of the number of defaults at a portfolio level are presented; model performance is evaluated through cross validation on discrimination and calibration measures. Discrimination performance for all three approaches was found to be high and competitive. Calibration performance for the survival approaches was found to be superior to logistic regression for intermediate time intervals and useful for fixed 12 month time horizon estimates, reinforcing the flexibility of survival analysis as both a risk ranking tool and for providing robust estimates of probability of default over time. Furthermore, the mixture cure model’s ability to distinguish between two subpopulations can offer additional insights by estimating the parameters that determine susceptibility to default in addition to parameters that influence time to default of a borrower.  相似文献   

20.
To represent the high concentration of recovery rates at the boundaries, we propose to consider the recovery rate as a mixed random variable, obtained as the mixture of a Bernoulli random variable and a beta random variable. We suggest to estimate the mixture weights and the Bernoulli parameter by two logistic regression models. For the recovery rates belonging to the interval (0,1), we model, jointly, the mean and the dispersion by using two link functions, so we propose the joint beta regression model that accommodates skewness and heteroscedastic errors. This methodological proposal is applied to a comprehensive survey on loan recovery process of Italian banks. In the regression model, we include some macroeconomic variables because they are relevant to explain the recovery rate and allow to estimate it in downturn conditions, as Basel II requires. Copyright © 2012 John Wiley & Sons, Ltd.  相似文献   

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