民间借贷机构利率能够精算定价吗?——一个Black-Scholes模型的构建与检验

Can Private Lending Institutions Interest Rates Be Actuarially Priced?——Construction and Test of Black-Scholes Model

首先对民间借贷机构利率定价模型进行一般推导,再构建Black-Scholes模型,采用深圳某民间借贷机构2013-2016年的交易数据为样本,检验了该模型对利率精算定价的影响。结果表明,民间借贷市场定价效率不高,Black-Scholes模型计算出来的民间借贷机构理论利率与实际利率能更好地吻合,能更好地反映真实情况下的民间借贷机构的市场利率。

First deduce the private lending institutions interest rate pricing model,then build Black-Scholes model,and use transaction data of a private lending institution in Shenzhen from 2013 to 2016 as samples to check the effects of the model on the actuarial pricing.The conclusion of our study proves that the pricing efficiency of the private lending market is not high;the theoretical interest rate of the private lending institution calculated according to the Black-Scholes model can be better matched with the real interest rate,which can better reflect the market interest rate of the private lending institution under the real situation.