P2P网络借贷平台爆发风险事件问题的研究——基于实物期权理论的视角

A Study of P2P Lending Risk Events:the Perspective of the Real Option Theory

基于实物期权理论,本文构建了P2P网络借贷平台爆发风险事件的结构模型,籍以从理论上来揭示P2P网络借贷平台爆发风险事件的内在机理。本文将P2P网络借贷平台爆发风险事件的问题视同为永久美式看跌期权的最优行权问题,并在几何布朗运动的框架内,根据最优停时理论求得了P2P网络借贷平台的价值。继而通过使用Laplace变换法,本文给出了平台爆发风险事件的理论概率的显式解,并发现:平台融资人还款金额的增长率、平台融资人还款金额的波动率、风险准备金的规模等因素会对平台爆发风险事件的理论概率产生显著的影响。本文还通过数值模拟发现:平台融资人还款金额的增长率越大,平台爆发风险事件的理论概率则会越小;平台融资人还款金额的波动率越大,平台爆发风险事件的理论概率也会越大;风险准备金的规模越大,平台爆发风险事件的理论概率则会越小。

In accordance with the Real Option Theory, we build a structural model for the study of P2P lending risk events,aiming to find out the mechanism in which P2P lending risk events occur. In the model, we liken the occurrence of a P2P lending risk event to the optimal exercise of a perpetual American put option, and within the framework of Geometric Brownian Motion, we work out the value of the P2P lending platform according to the optimal stopping theory. And then by applying Laplace Transform we work out an explicit solution to the theoretical probability of the occurrence of P2P lending risk events, and we discover that the increases in the P2P borrowers' repaid money, the variations in the P2P borrowers' repaid money, the size of the risk reserves etc. would affect the theoretical probability of the occurrence of P2P lending risk events.And by numerical simulation we find out that the bigger the increases in the P2P borrowers' repaid money, the lower the theoretical probability that P2P lending risk events would occur, the bigger the variations in the P2P borrowers' repaid money, the higher the theoretical probability that P2P lending risk events would occur, and the larger the size of the risk reserves, the lower the theoretical probability that P2P lending risk events would occur.