發(fā)布時間：2018-04-08 15:36

  本文選題：個人信貸　切入點：信用風險　出處：《電子科技大學》2017年博士論文

【摘要】：傳統(tǒng)商業(yè)銀行個人信貸業(yè)務與網(wǎng)絡個人信貸業(yè)務相互競爭且并存發(fā)展,形成了新的個人信貸背景,簡稱新個貸背景。新個貸背景下個人信貸的信用風險,是指個人信貸借款人不愿、無力償還借款或由于交易對手違約而導致信貸機構或P2P網(wǎng)貸出借人遭受損失的風險。因此,新個貸背景下個人信貸的信用風險屬于廣義個人信用風險的研究范疇,包括了傳統(tǒng)商業(yè)銀行個人信貸業(yè)務和網(wǎng)絡個人信貸(P2P網(wǎng)貸)業(yè)務中的信用風險。據(jù)統(tǒng)計,自2013年底我國商業(yè)銀行的不良貸款率節(jié)節(jié)攀升,由個人信貸業(yè)務違約產(chǎn)生的不良貸款責無旁貸。P2P網(wǎng)貸壞賬率模糊不清且遠超于同期的商業(yè)銀行,P2P網(wǎng)貸平臺停業(yè)、破產(chǎn)、跑路的事件更是數(shù)見不鮮。新個貸背景下個人信貸的信用風險危害性日益凸顯,不僅給出借人帶來了重大的損失,而且給金融市場和社會的安定造成嚴重負面影響。新個貸背景下個人信貸的信用風險具有復雜性、可控性、演化和傳染性等基本特點�；谏虡I(yè)銀行視角的傳統(tǒng)研究理論和方法,已不能滿足新個貸背景下個人信貸的信用風險研究的需求。如何基于傳統(tǒng)和網(wǎng)絡個人信貸的信用風險的“共性”和“特殊性”,對新個貸背景下個人信貸的信用風險的產(chǎn)生、演化和有效評估等問題進行深入探討,是本文研究的主要問題。結合新個貸背景下個人信貸業(yè)務的現(xiàn)實情況,本文相對系統(tǒng)的對新個貸背景下個人信貸的信用風險展開研究,研究工作主要體現(xiàn)在以下幾個方面。第一,針對新個貸背景下個人信貸違約和“失信”問題事件激增的事實,本文對新個貸背景下個人信貸的信用風險產(chǎn)生進行探討。一方面,本文基于還款能力、社會網(wǎng)絡關系圈的還款情況和信貸機構的監(jiān)管懲戒,通過嵌入前景理論,構建了新個貸背景下個人信貸借款人還款意愿量化模型。另一方面,基于網(wǎng)貸平臺發(fā)展指數(shù)、出借人信任傾向、借款人芝麻信用分及投資收益等因素,本文構建了基于前景理論的P2P網(wǎng)貸出借人信任模型和基于網(wǎng)絡信任的出借意愿度量模型。借助多智能體仿真方法,對個人信貸借款人還款意愿和P2P網(wǎng)貸出借人出借意愿的影響機理進行了分析。研究結論較好的闡釋了個人信貸借款人行為決策的異質性和P2P網(wǎng)貸出借人的“從眾”出借行為,為新個貸背景下個人信貸的信用風險產(chǎn)生的解釋,提供了理論依據(jù)。第二,針對新個貸背景下個人信貸違約事件的群體性爆發(fā)和形成的“羊群效應”,本文對新個貸背景下個人信貸的信用風險演化問題進行探討。本文從個人信貸借款人自身因素和環(huán)境因素兩個層面,對新個貸背景下個人信貸的信用風險演化的影響因素進行分析,并在此基礎上構建了個人信貸的信用風險演化模型。通過數(shù)理推導和仿真研究發(fā)現(xiàn),個人信貸借款人的違約策略偏好、還款能力認知、信貸機構的監(jiān)管懲戒直接影響了個人信貸的信用風險演化概率和均衡狀態(tài),社會網(wǎng)絡近鄰效應影響函數(shù)凹凸性影響了個人信貸的信用風險演化的速率,社會網(wǎng)絡結構的異質性影響了個人信用風險的演化過程和均衡狀態(tài)。新個貸背景下個人信貸的信用風險演化機理的揭示,為個人信貸違約產(chǎn)生的“羊群效應”提供了理論上的解釋。第三,針對新個貸背景下傳統(tǒng)商業(yè)銀行不良貸款率和網(wǎng)絡個人信貸壞賬率居高不下現(xiàn)實情況,本文對新個貸背景下個人信貸的信用風險的有效評估進行探討。一方面,考慮到單一、靜態(tài)的評估模型不能滿足新個貸背景下個人信貸的信用風險評估的需求,本文提出了一類基于logistic-聚類的個人信貸的信用風險評估模型及一類多維動態(tài)個人信貸的信用風險評估方法,并基于我國商業(yè)銀行個人信貸數(shù)據(jù),對模型的有效性進行了驗證。另一方面,基于網(wǎng)絡個人信貸的信用風險評估的“特殊性”,結合社會資本在P2P網(wǎng)絡個人信貸和互聯(lián)網(wǎng)征信的重要作用,本文構建了一種基于在線社會資本的網(wǎng)絡個人信貸的信用風險評估模型,并基于搜集到的芝麻信用數(shù)據(jù),對模型的有效性進行了檢驗。本文從理論和方法層面,對新個貸背景下個人信貸的信用風險產(chǎn)生、演化機制及有效評估等問題進行了探討,相對的豐富和完善了基于商業(yè)銀行視角的傳統(tǒng)個人信貸的信用風險理論研究體系。同時,本文的研究將為信貸機構實現(xiàn)傳統(tǒng)和網(wǎng)絡個人信貸的信用風險管控的優(yōu)勢互補和個人信貸業(yè)務模式的優(yōu)化創(chuàng)新,提供一定的理論支撐。
[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.

【學位授予單位】：電子科技大學
【學位級別】：博士
【學位授予年份】：2017
【分類號】：F832.4

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