【摘要】：基于某網(wǎng)貸平臺2013年11月發(fā)放的24期貸款數(shù)據(jù),引入新巴塞爾協(xié)議的行業(yè)風(fēng)險標(biāo)準構(gòu)建RAROC模型,對平臺定價模式下的互聯(lián)網(wǎng)金融網(wǎng)貸風(fēng)險定價進行分析。實證結(jié)果表明,有無違約記錄、擔(dān)保資格審查最近兩年查詢次數(shù)、性別等9個變量對借款人違約行為有顯著影響;Logistic風(fēng)險評估模型能較好地預(yù)測網(wǎng)貸違約概率,其線性變換得到的信用評分卡準確性較高;基于新巴塞爾協(xié)議的RAROC模型適用于互聯(lián)網(wǎng)金融網(wǎng)貸,且比網(wǎng)貸平臺現(xiàn)行的固定利率定價模式更具靈活性和風(fēng)險敏感性,有利于提升網(wǎng)貸定價質(zhì)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.
【作者單位】： 湖南大學(xué)工商管理學(xué)院;湖南省兩型社會與生態(tài)文明協(xié)同創(chuàng)新中心;
【基金】：國家自然科學(xué)基金項目(71373072);國家自然科學(xué)基金項目(71171075) 教育部長江學(xué)者和創(chuàng)新團隊發(fā)展計劃項目(IRT0916) 湖南省兩型社會與生態(tài)文明協(xié)同創(chuàng)新中心資助項目
【分類號】：F713.36;F831.2

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