中国P2P网络借贷市场合适借款人识别与道德风险测算  

Identification of Right Borrowers and Measurement of Moral Hazards in China’s Peer-to-Peer Online Lending Markets

作　　者：何光辉[1] 杨何灿 HE Guanghui;YANG Hecan(School of Economic,Fudan University,Shanghai 200433,China;School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]复旦大学经济学院,上海200433 [2]上海财经大学金融学院,上海200433

出　　处：《当代经济科学》2020年第5期40-52,共13页Modern Economic Science

基　　金：国家自然科学基金项目“中国网络借贷市场逆向选择、道德风险与信贷配给研究”(71773022)。

摘　　要：从中国P2P网络借贷市场信息中介对等性出发,本文选取已进入良性发展的某前十大平台全部网络交易真实数据,通过合适借款人特征识别、违约机制模拟与不同情境道德风险测算发现:中国P2P网络借贷市场确实有合适的长尾人群且在稳健平台借款不会产生系统性风险;合适借款人违约风险与其主要特征密切相关,出借人可根据违约机制优化组合标的获得超额收益;风险形成机制截然不同的法人混入P2P网络借贷市场将冲击合适借款人;风险中性平台更可能保证市场稳健发展,偏好风险和过度谨慎均可能加剧系统性风险。Based on the reciprocity of information intermediary in peer-to-peer markets,and using the transaction data of natural persons’online loans from one of the top ten P2P platforms that has been entering a healthy development in China,this paper identifies characteristics of right borrowers,simulates their default mechanisms and measures moral hazards in different scenarios.We find that China’s P2P markets indeed have right long-tail borrowers whose obtaining loans from sound platforms does not generate systematic risks.The probability of borrowers’default is closely related to their main characteristics and the lenders can optimize portfolios according to the default mechanisms to obtain excess returns.However,the incorporation of legal entities into the markets produces negatively impacts on the right borrowers.Risk-neutral platforms are more likely to ensure the steady development of the markets,while either risk-loving or risk-cautious platforms may aggravate the systematic risks.

关 键 词：P2P 网络借贷 合适借款人 特征识别 道德风险 系统性风险 

分 类 号：F724.6[经济管理—产业经济] F832.4