以Bianconi-Barabasi網路模型模擬風險準備金對P2P借貸體系的系統性影響

Abstract

因為Peer-to-Peer(以下簡稱P2P)貸款是借貸雙方經由平台媒合直接交易，所以相對於傳統借貸，不僅省去了交易所需的時間，更降低了交易成本，這對於中小型企業與個人尤其受益良多。\n\n雖然P2P是金融領域的一大創新，彌補了傳統金融的不足，可是P2P也存在著風險。再加上一方面借貸雙方與平台皆未對此有足夠的認知，另一方面法規與監管措施也還尚未完善，因此造成投資者們不僅沒有享受到P2P借貸的便利之處，反而遭受到損失，甚至產生了社會問題。\n\n雖然投資都會有風險，可是為了避免風險擴散成為系統性風險，能夠及早找出問題之所在並且防範於未然就是一個重要的問題，只是要如何及時找出風險之所在且又能夠盡量避免監管成本的大量增加，是每個平台決勝的關鍵所在。\n\n在本文中會先以借貸雙方的預期收益函數為基礎建立理論模型，分析借貸雙方的交易情形與策略，並且找出存在的風險。接著引入準備金制度，比較在有風險準備金制度下風險的改善。經由分析結果得知若引入風險準備金制度後，不僅貸款利率下降，而且貸方的進入門檻也相對較低。也因此在風險準備金制度下交易更容易達成。\n\n本研究中還引入了新的研究方法—社會網路分析法，本文將用Bianconi-Barabasi網路模型來比較在不同情形下平台的交易型態。藉著這項工具平台經營者與監管著可以輕易地找出問題所在，此外可以預測出未來系統的穩定性。根據模擬結果發現引入風險準備金後，社會網路的整體不均程度較低。這表示在風險準備金制度下的p2p交易更接近「普惠金融」的目標。

In Peer-to-Peer (P2P) lending, both lenders and borrowers deal directly via Internet matchmaking. Hence, compared to the traditional financial institutes, P2P lending reduces not only the time required for transaction, but also the costs of transaction. This is particularly beneficial for small and medium companies and individual borrowers. \n\nHowever, P2P lending also has some risks. This is because the platform, the lenders and the borrowers do not fully understand what to expect from the involved parties. Meanwhile, governmental legislation and regulatory measures are not perfect. As a result, the investors may not enjoy the convenience of P2P lending, but instead suffering from losses, which is a source of social problems. \n\nIn order to mitigate the risks, it is important to identify potential problems early and to take preventive measures before the problems create systemic risk. How to find out where the problem is in a timely manner so that the problem can be taken care of before the involvement of governmental regulations is of crucial importance to the success of a P2P lending platform. \n\nIn this thesis, we developed a P2P landing theoretical model based on the expected return of lenders and borrowers. We then analyzed lenders’ and borrowers’ behaviors to identify the risks. After that, we introduced collateral to the model and compared the credit risks. The results show that under collateral, lenders are more willing to loan the money with lower interest rates while borrowers are more likely to payback the loans, hence leads to more successful transactions.\n\nThis thesis also introduces a new methodology, using the Bianconi-Barabasi network model to simulate the P2P lending. We compare the results from the simulations under different situations and found that P2P lending network with collateral has a more balanced degree distribution. In other words, the transactions are not dominated by a few big players but spread among many lenders and borrowers. This indicates P2P with collateral benefit more customers in satisfying their financial and investment goals