摘要
本文以"83号文"的出台为背景,深入分析P2P网贷平台转型为网络小贷公司后可能面临的信用风险环境,并首次提出了"网贷+信用衍生品"模式,即利用信用衍生品构造网络小额贷款信用风险转移的经济模型。其中,本文结合网络小贷业务的实际情况对信用衍生品的定价过程进行了改进,并给出了固定周期支付和前端一次性支付两种形式的定价表达式。此外,本文还比较了不同贷款期限和年化收益率下的CDS价格差别,得出以下结论:第一,加权平均年利率和众数年利率都能够较好地对CDS保护费进行定价;第二,前端一次性支付形式下的CDS价格会随着贷款期限的增加而增加,并且与不同期限贷款的违约率走势基本一致;第三,当以网贷平台的历史数据计算生存概率时,贷款期限越长,CDS价格对于年化收益率的敏感性越大。最后,本文在上述结论的基础上,提出了相应的政策建议。
Based on the introduction of document No.83,this paper makes an in-depth analysis on the credit risk environment that P2P lending platforms may face after transforming into online microcredit companies and puts forward the model of"Online Lending+Credit Derivative"for the first time.It builds an economic model of online microcredit by using credit derivatives to transfer credit risk and to improve the pricing process by considering the actual situation of online microcredit,giving the pricing expressions of front-end one-time payment and fixed period payment.Furthermore,this paper also compares the price differences of CDS between the different loan terms and annualized yield rates,drawing the following conclusions:First,both weighted average annual interest rate and mode annual interest rate can fix CDS's price well;Second,the price of CDS in the form of front-end one-time payment will be higher with the increasement of loan term and the trend is basically consistent with the default rate of loans with different loan terms;Third,when calculating the survival probability based on the historical data of online lending platform,the longer the loan term is,the more sensitive the CDS's price to the annualized yield is.Finally,on the basis of the above conclusions,this paper puts forward corresponding policy suggestions.
作者
邹辉文
朱申楠
ZOU Huiwen;ZHU Shennan
出处
《金融监管研究》
CSSCI
北大核心
2020年第6期59-79,共21页
Financial Regulation Research
基金
福建省自然科学基金项目《基于极值理论和Copula函数的巨灾风险债券定价研究》(项目编号:2017J01794)的资助。
