P2P网络信贷保险风险准备金定价研究——基于风险中性原则

The Pricing Research of the Risk Reserve of the P2P Network Credit Insurance——Based on the Principle of Risk Neutrality

鉴于我国P2P网贷行业尚未发展成熟,现有的P2P信贷平台在运营中承担一定程度的风险。本文通过Merton期权定价模型求出P2P公司的资产价值及隐含波动率,并结合风险中性原则,建立了我国P2P网络信贷保险风险准备金的定价模型。基于市场数据的实证研究表明,该模型有效地满足了违约风险溢价,保护了投资者权益,同时P2P网贷承担风险的增加会给平台带来更高的资金成本压力并造成恶性循环,这表明在积极推行网贷保险化的同时,应加强P2P网贷公司监管并控制其风险。

In view of China＇s immature P2P net loan industry, the existing P2P credit platform takes a certain degree of risk in the operation. This paper establishes a pricing model of China＇s P2P network credit insurance risk reserve through the Merton option pricing model to calculate the P2P value of assets and implied volatility, combined with risk neutrality principle. Based on the empirical research of market data, this model effectively meets the default risk premium, protects the interests of investors, while the increase of the P2P net loan risk will bring the higher capital cost pressures to the platform and causes a vicious cycle. This shows that in the process of actively promoting the net loan insurance, we should strengthen the supervision of the P2P net loan company and control its risk.