网络借贷利率定价研究:基于无套利定价的视角

网络借贷市场的快速发展颠覆了传统银行业一头独大的局面,网络各种新型金融产品的出现,导致了人们理财选择的多样化.而网络借贷产品的利率定价成为学者们关注的一个热点问题.本文以招财宝平台保本基金衍生出来的"个人贷"为例进行了实证研究,根据业务规则,我们申购保本基金并进行变现,通过到期支付贴现和实际支付产生的差值反映出市场利率的合理程度.根据保本基金的投资策略,我们在布朗运动和跳跃-扩散两种假设下推导出保本基金净值变化的路径,并进行蒙特卡罗模拟.研究发现借贷利率定价总体偏高,且利率受证券市场景气度的影响,牛市时借贷利率处于严重高估状态.研究结果有助于促进网络借贷平台利率的合理定价,同时也帮助监管部门和网络平台进行风险控制.

Pricing internet lending interest: On the view of no arbitrage

The rapid development of the internet lending market subvert the traditional banking industry dominance. The emergence of new financial products lead to the diversification of household portfolio choice. The interest rate pricing of online lending products has become a hot issue for scholars. In this paper, we conduct an empirical study of Zhaocaibao P2P lending. According its rules, we purchase capital preservation fund and discount to cash, which is equivalent to buy a similar parity European call option. The level of value difference reflects the reasonable degree of market interest rate. Also according to the investment strategy of the capital preservation fund, based on Brownian motion and jump-diffusion, we derive fund value path and calculate the numerical solution of the call option through Monte Carlo simulation. Based on the no arbitrage pricing theory, we compared the differences of numerical solution and the actual amount paid. The study found that the overall lending interest rate is priced high, and interest rates are affected by the influence of securities market, borrowing rates are overvalued when in the bull market. The research results can not only help to promote the reasonable pricing of the internet lending platform, but also help regulators and P2P platform for risk control.