Abstract:
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.
刘红忠, 毛杰. 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[J]. 金融研究, 2018, 461(11): 119-132.
LIU Hongzhong, MAO Jie. A Study of P2P Lending Risk Events: the Perspective of the Real Option Theory. Journal of Financial Research, 2018, 461(11): 119-132.
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