互联网金融P2P贷款违约风险评估、贷款期限和风险溢价

财经论丛 ›› 2019, Vol. 35 ›› Issue (7): 44-53.

互联网金融P2P贷款违约风险评估、贷款期限和风险溢价

王浩名¹, 马树才²

1.内蒙古财经大学经济学院,内蒙古呼和浩特 010070;
2.辽宁大学经济学院,辽宁沈阳 110036

收稿日期:2017-05-09 出版日期:2019-07-10 发布日期:2019-07-08
作者简介:王浩名(1981-),男,辽宁沈阳人,内蒙古财经大学经济学院副教授,博士;马树才(1945-),男,辽宁岫岩人,辽宁大学经济学院教授。
基金资助:
国家社会科学基金项目(17BJL097);内蒙古社科规划办项目(2017NDB119)

Internet Financial P2P Loan Default Risk Assessment, Loan Term and Risk Premium

WANG Haoming¹, MA Shucai²

1.School of Economics, Inner Mongolia University of Finance and Economics, Hohhot 010070, China;
2.School of Economics, Liaoning University, Shenyang 110036, China

Received:2017-05-09 Online:2019-07-10 Published:2019-07-08

摘要/Abstract

摘要： 以P2P贷款中借款人违约风险概率和风险溢价作为研究对象,采用Logit模型实证分析个人特征信息对违约风险概率的影响;通过Cox比例风险模型实证分析贷款期限与违约风险的关系;同时计算和比较了不同信用等级借款人的理论贷款利率和实际贷款利率所形成的风险溢价。研究发现,借款人的信用等级、FICO分数等级、负债与收入比、旋转线利用率对违约风险概率产生影响;同时贷款期限较长也会带来较高的违约风险;信用等级较低的借款人支付的实际利率低于理论利率,而信用等级较高的借款人支付的实际利率高于理论利率,且贷款人更容易形成向较高信用等级借款人增加额外风险溢价的偏好。

关键词: 违约风险, 理论利率, 信用等级, 风险溢价

Abstract: With the default risk probability and the risk premium in P2P loan as the research object, this paper uses the Logit model analyze the influence of personal characteristics information on the default risk probability, and applies the Cox model to study the relationship between the loan period and the default risk. It also calculates and compares the different risk premiums formed by the theoretical loan interest rate and the actual loan interest rate of different credit-rating borrowers. The results of the study are as follows: the credit rating, the FICO score level, the debt-to-income ratio and the credit rotation line utilization have an impact on the default risk probability; a longer loan period will give rise to a higher risk behavior; the actual interest rate paid by borrowers with lower credit ratings is lower than the theoretical interest rate, whereas the actual interest rate paid by borrowers with higher credit ratings is higher than the theoretical interest rate; moreover, the creditors have a tendency to add additional risk premiums to borrowers with higher credit ratings.

Key words: Default Risk, Theoretical Interest Rate, Credit Grade, Risk Premiums

中图分类号:

F831.2

王浩名, 马树才. 互联网金融P2P贷款违约风险评估、贷款期限和风险溢价[J]. 财经论丛, 2019, 35(7): 44-53.

WANG Haoming, MA Shucai. Internet Financial P2P Loan Default Risk Assessment, Loan Term and Risk Premium[J]. , 2019, 35(7): 44-53.

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