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題名 最適預期損失信用評等模型:以P2P平台為例
Optimal Structure of Expected Loss Credit Rating Model:Evidence from P2P Platform
作者 簡銘均
Jian, Ming-Chun
貢獻者 呂桔誠<br>林士貴
Lyu, Joseph Jye-Cherng<br>Lin, Shih-Kuei
簡銘均
Jian, Ming-Chun
關鍵詞 違約風險
提前還款風險
違約損失率
預期損失
機器學習
P2P平台風險管理
Default Risk
Prepayment Risk
Loss Given Default
Expected Loss
Machine Learning
Risk Management in P2P Platform
日期 2022
上傳時間 1-Aug-2022 17:28:49 (UTC+8)
摘要 本研究使用 P2P 平台資料提出一個最適結構之預期損失信用評等模型，不僅包含違約風險，也考量提前還款風險、違約損失率以及違約曝險額。建構預期損失模型過程中，我們透過機器學習方法建構各風險成分模型並使用 SHAP 值確保機器學習的解釋能力與傳統回歸模型有一致的結果。此外，我們使用 Kruskal-Wallis 檢定以及 Conover 檢定發現以預期損失信用評等模型相較違約機率信用評等模型，均有較好的分辨能力。最後，我們發現將提前還款風險納入評等模型中可以使模型對於預測借款者最終損失的表現有所提升。
In this study, we propose an optimal structured expected loss credit rating model using P2P platform data, including default risk, prepayment risk, loss given default (LGD), and exposure at default (EAD). In addition, each risk component of expected loss is constructed via a machine learning approach, and we use SHAP values to ensure the explanatory power of the machine learning model is consistent with the statistical regression model. Furthermore, using the Kruskal-Wallis and the Conover’s tests, we find that the expected loss credit rating model has better discriminatory power than the probability of default credit rating model. Finally, incorporating prepayment risk into the credit rating model improves the model’s performance in predicting the borrower’s actual loss.
參考文獻 1. Aldahdooh, R. T., & Ashour, W. M. (2013). Dimk-means” distance-based initialization method for k-means clustering algorithm”. International Journal of Intelligent Systems and Applications, 5(2).

2. Aldric, J. H., & Nelson, F. D. (1984). Linear probability, logit and probit models. Thousand Oaks, CA: Sage, 10, 9781412984744.

3. Bellotti, T., & Crook, J. (2012). Loss given default models incorporating macroeconomic variables for credit cards. International Journal of Forecasting, 28(1), 171–182.
4. Bordo, M. D., & Levin, A. T. (2017). Central bank digital currency and the future of monetary policy (Tech. Rep.). National Bureau of Economic Research.

5. Calabrese, R., & Zanin, L. (2022). Modelling spatial dependence for loss given default in peer-to-peer lending. Expert Systems with Applications, 192, 116295. Carey, M., & Hrycay, M. (2001). Parameterizing credit risk models with rating data. Journal of banking & finance, 25(1), 197–270.

6. CGFS-FSB. (2017). Fintech credit: market structure, business models and financial stability implicationsmay.

7. Chen, T., & Guestrin, C. (2016). Xgboost: A scalable tree boosting system. In Proceedings of the 22nd acm sigkdd international conference on knowledge discovery and data mining (pp. 785–794).

8. Chen, X., Huang, B., & Ye, D. (2018). The role of punctuation in p2p lending: Evidence from china. Economic Modelling, 68, 634–643.

9. Chen, X., Huang, B., & Ye, D. (2020). Gender gap in peer-to-peer lending: Evidence from china. Journal of Banking & Finance, 112, 105633.

10. Chernov, M., Dunn, B. R., & Longstaff, F. A. (2018). Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities. The Review of Financial Studies, 31(3), 1132–1183.

11. Conover, W. J. (1999). Practical nonparametric statistics (Vol. 350). john wiley & sons.

12. Dermine, J., & De Carvalho, C. N. (2006). Bank loan losses-given-default: A case study. Journal of Banking & Finance, 30(4), 1219–1243.

13. Dorfleitner, G., Priberny, C., Schuster, S., Stoiber, J., Weber, M., de Castro, I., & Kammler, J. (2016). Description-text related soft information in peer-to-peer lending– evidence from two leading european platforms. Journal of Banking & Finance, 64, 169–187.

14. Eletter, S. F., Yaseen, S. G., & Elrefae, G. A. (2010). Neuro-based artificial intelligence model for loan decisions. American Journal of Economics and Business Administration, 2(1), 27.

15. Emekter, R., Tu, Y., Jirasakuldech, B., & Lu, M. (2015). Evaluating credit risk and loan performance in online peer-to-peer (p2p) lending. Applied Economics, 47(1), 54– 70.

16. Fitzpatrick, T., & Mues, C. (2021). How can lenders prosper? comparing machine learning approaches to identify profitable peer-to-peer loan investments. European Journal of Operational Research, 294(2), 711–722.

17. Foglia, A., Iannotti, S., & Marullo Reedtz, P. (2001). The definition of the grading scales in banks’internal rating systems. Economic Notes, 30(3), 421–456.

18. Freedman, S., & Jin, G. Z. (2017). The information value of online social networks: Lessons from peer-to-peer lending. International Journal of Industrial Organiz tion, 51, 185–222.

19. Friedman, J. H. (2001). Greedy function approximation: a gradient boosting machine. Annals of statistics, 1189–1232.

20. Grunert, J., & Weber, M. (2009). Recovery rates of commercial lending: Empirical evidence for german companies. Journal of Banking & Finance, 33(3), 505–513.

21. Havrylchyk, O., & Verdier, M. (2018). The financial intermediation role of the p2p lending platforms. Comparative Economic Studies, 60(1), 115–130.

22. Heitfield, E. (2004). Rating system dynamics and bank-reported default probabilities under the new basel capital accord. research paper, Board of Governors of the Federal Reserve System, March.

23. Jain, M., & Verma, C. (2014). Adapting k-means for clustering in big data. International Journal of Computer Applications, 101(1), 19–24.

24. Jin, Y., & Zhu, Y. (2015). A data-driven approach to predict default risk of loan for online peer-to-peer (p2p) lending. In 2015 fifth international conference on communication systems and network technologies (pp. 609–613).

25. Kelly, R., & O’Malley, T. (2016). The good, the bad and the impaired: A credit risk model of the irish mortgage market. Journal of Financial Stability, 22, 1–9.

26. Khandani, A. E., Kim, A. J., & Lo, A. W. (2010). Consumer credit-risk models via machine-learning algorithms. Journal of Banking & Finance, 34(11), 2767–2787.

27. Krink, T., Paterlini, S., & Resti, A. (2008). The optimal structure of pd buckets. Journal of Banking & Finance, 32(10), 2275–2286.

28. Kruskal, W. H., & Wallis, W. A. (1952). Use of ranks in one-criterion variance analysis. Journal of the American statistical Association, 47(260), 583–621.

29. Lagarde, C. (2018). Straight talk: A regulatory approach to fintech. Finance & Development, 55(002).

30. Lee, T.-S., Chiu, C.-C., Lu, C.-J., & Chen, I.-F. (2002). Credit scoring using the hybrid neural discriminant technique. Expert Systems with applications, 23(3), 245–254.

31. Levin, A., & Davidson, A. (2005). Prepayment risk-and option-adjusted valuation of mbs. The Journal of Portfolio Management, 31(4), 73–85.

32. Li, Z., Li, K., Yao, X., & Wen, Q. (2019). Predicting prepayment and default risks of unsecured consumer loans in online lending. Emerging Markets Finance and Trade, 55(1), 118–132.

33. Liang, K., & He, J. (2020). Analyzing credit risk among chinese p2p-lending businesses by integrating text-related soft information. Electronic Commerce Research and Applications, 40, 100947.

34. Lin, M. (2009). Peer-to-peer lending: An empirical study.

35. Lin, M., Prabhala, N. R., & Viswanathan, S. (2013). Judging borrowers by the company they keep: Friendship networks and information asymmetry in online peer-to-peer lending. Management science, 59(1), 17–35.

36. Lundberg, S. M., & Lee, S.-I. (2017). A unified approach to interpreting model predictions. Advances in neural information processing systems, 30.

37. Luo, B., & Lin, Z. (2013). A decision tree model for herd behavior and empirical evidence from the online p2p lending market. Information Systems and e-Business Management, 11(1), 141–160.

38. Lyra, M., Paha, J., Paterlini, S., & Winker, P. (2010). Optimization heuristics for determining internal rating grading scales. Computational Statistics & Data Analysis, 54(11), 2693–2706.

39. Papouskova, M., & Hajek, P. (2019). Two-stage consumer credit risk modelling using heterogeneous ensemble learning. Decision support systems, 118, 33–45.

40. Pertaia, G., Prokhorov, A., & Uryasev, S. (2022). A new approach to credit ratings. Journal of Banking & Finance, 140, 106097.

41. Qi, M., & Zhao, X. (2011). Comparison of modeling methods for loss given default. Journal of Banking & Finance, 35(11), 2842–2855.

42. Serrano-Cinca, C., Gutiérrez-Nieto, B., & López-Palacios, L. (2015). Determinants of default in p2p lending. PloS one, 10(10), e0139427.

43. Shi, B., Zhao, X., Wu, B., & Dong, Y. (2019). Credit rating and microfinance lending decisions based on loss given default (lgd). Finance Research Letters, 30, 124–129.

44. Stanhouse, B., & Stock, D. (2004). The impact of loan prepayment risk and deposit withdrawal risk on the optimal intermediation margin. Journal of Banking & Finance, 28(8), 1825–1843.

45. Stepanova, M., & Thomas, L. (2002). Survival analysis methods for personal loan data. Operations Research, 50(2), 277–289.

46. Storn, R., & Price, K. (1997). Differential evolution–a simple and efficient heuristic for global optimization over continuous spaces. Journal of global optimization, 11(4), 341–359.

47. Tsai, M.-C., Lin, S.-P., Cheng, C.-C., & Lin, Y.-P. (2009). The consumer loan default predicting model–an application of dea–da and neural network. Expert Systems with applications, 36(9), 11682–11690.

48. Wan, J., Zhang, H., Zhu, X., Sun, X., & Li, G. (2019). Research on influencing factors of p2p network loan prepayment risk based on cox proportional hazards. Procedia Computer Science, 162, 842–848.

49. Wang, H., Chen, K., Zhu, W., & Song, Z. (2015). A process model on p2p lending. Financial Innovation, 1(1), 1–8.

50. Yan, J., Yu, W., & Zhao, J. L. (2015). How signaling and search costs affect information asymmetry in p2p lending: the economics of big data. Financial Innovation, 1(1), 1–11.

51. Yao, X., Crook, J., & Andreeva, G. (2017). Enhancing two-stage modelling methodology for loss given default with support vector machines. European Journal of Operational Research, 263(2), 679–689.

52. Zhang, Y., & Chi, G. (2018). A credit rating model based on a customer number bellshaped distribution. Management Decision.

53. Zhou, J., Li, W., Wang, J., Ding, S., & Xia, C. (2019). Default prediction in p2p lending from high-dimensional data based on machine learning. Physica A: Statistical Mechanics and its Applications, 534, 122370.
描述 碩士
國立政治大學
金融學系
109352011
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352011
資料類型 thesis
dc.contributor.advisor 呂桔誠<br>林士貴zh_TW
dc.contributor.advisor Lyu, Joseph Jye-Cherng<br>Lin, Shih-Kueien_US
dc.contributor.author (Authors) 簡銘均zh_TW
dc.contributor.author (Authors) Jian, Ming-Chunen_US
dc.creator (作者) 簡銘均zh_TW
dc.creator (作者) Jian, Ming-Chunen_US
dc.date (日期) 2022en_US
dc.date.accessioned 1-Aug-2022 17:28:49 (UTC+8)-
dc.date.available 1-Aug-2022 17:28:49 (UTC+8)-
dc.date.issued (上傳時間) 1-Aug-2022 17:28:49 (UTC+8)-
dc.identifier (Other Identifiers) G0109352011en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141060-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 109352011zh_TW
dc.description.abstract (摘要) 本研究使用 P2P 平台資料提出一個最適結構之預期損失信用評等模型，不僅包含違約風險，也考量提前還款風險、違約損失率以及違約曝險額。建構預期損失模型過程中，我們透過機器學習方法建構各風險成分模型並使用 SHAP 值確保機器學習的解釋能力與傳統回歸模型有一致的結果。此外，我們使用 Kruskal-Wallis 檢定以及 Conover 檢定發現以預期損失信用評等模型相較違約機率信用評等模型，均有較好的分辨能力。最後，我們發現將提前還款風險納入評等模型中可以使模型對於預測借款者最終損失的表現有所提升。zh_TW
dc.description.abstract (摘要) In this study, we propose an optimal structured expected loss credit rating model using P2P platform data, including default risk, prepayment risk, loss given default (LGD), and exposure at default (EAD). In addition, each risk component of expected loss is constructed via a machine learning approach, and we use SHAP values to ensure the explanatory power of the machine learning model is consistent with the statistical regression model. Furthermore, using the Kruskal-Wallis and the Conover’s tests, we find that the expected loss credit rating model has better discriminatory power than the probability of default credit rating model. Finally, incorporating prepayment risk into the credit rating model improves the model’s performance in predicting the borrower’s actual loss.en_US
dc.description.tableofcontents 摘要 i
Abstract ii
Contents iii
List of Figures v
List of Tables vi
1 Introduction 1
2 Literature review 5
2.1 Credit and Prepayment risk 5
2.2 Credit rating model 8
3 Methodologies 11
3.1 Multinomial logistic regression 11
3.2 XGboost 13
3.3 Expected loss credit rating model 16
3.4 Differential evolution 17
4 Empirical study 19
4.1 Data description 19
4.2 Estimation results 21
4.2.1 Loan status prediction result 21
4.2.2 Loss given default prediction result 30
4.2.3 Credit rating model 34
5 Conclusion and Future Work 41
5.1 Conclusion 41
5.2 Future Work 42
References 43
Appendix 49		zh_TW
dc.format.extent 2008575 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352011en_US
dc.subject (關鍵詞) 違約風險zh_TW
dc.subject (關鍵詞) 提前還款風險zh_TW
dc.subject (關鍵詞) 違約損失率zh_TW
dc.subject (關鍵詞) 預期損失zh_TW
dc.subject (關鍵詞) 機器學習zh_TW
dc.subject (關鍵詞) P2P平台風險管理zh_TW
dc.subject (關鍵詞) Default Risken_US
dc.subject (關鍵詞) Prepayment Risken_US
dc.subject (關鍵詞) Loss Given Defaulten_US
dc.subject (關鍵詞) Expected Lossen_US
dc.subject (關鍵詞) Machine Learningen_US
dc.subject (關鍵詞) Risk Management in P2P Platformen_US
dc.title (題名) 最適預期損失信用評等模型:以P2P平台為例zh_TW
dc.title (題名) Optimal Structure of Expected Loss Credit Rating Model:Evidence from P2P Platformen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Aldahdooh, R. T., & Ashour, W. M. (2013). Dimk-means” distance-based initialization method for k-means clustering algorithm”. International Journal of Intelligent Systems and Applications, 5(2).

2. Aldric, J. H., & Nelson, F. D. (1984). Linear probability, logit and probit models. Thousand Oaks, CA: Sage, 10, 9781412984744.

3. Bellotti, T., & Crook, J. (2012). Loss given default models incorporating macroeconomic variables for credit cards. International Journal of Forecasting, 28(1), 171–182.
4. Bordo, M. D., & Levin, A. T. (2017). Central bank digital currency and the future of monetary policy (Tech. Rep.). National Bureau of Economic Research.

5. Calabrese, R., & Zanin, L. (2022). Modelling spatial dependence for loss given default in peer-to-peer lending. Expert Systems with Applications, 192, 116295. Carey, M., & Hrycay, M. (2001). Parameterizing credit risk models with rating data. Journal of banking & finance, 25(1), 197–270.

6. CGFS-FSB. (2017). Fintech credit: market structure, business models and financial stability implicationsmay.

7. Chen, T., & Guestrin, C. (2016). Xgboost: A scalable tree boosting system. In Proceedings of the 22nd acm sigkdd international conference on knowledge discovery and data mining (pp. 785–794).

8. Chen, X., Huang, B., & Ye, D. (2018). The role of punctuation in p2p lending: Evidence from china. Economic Modelling, 68, 634–643.

9. Chen, X., Huang, B., & Ye, D. (2020). Gender gap in peer-to-peer lending: Evidence from china. Journal of Banking & Finance, 112, 105633.

10. Chernov, M., Dunn, B. R., & Longstaff, F. A. (2018). Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities. The Review of Financial Studies, 31(3), 1132–1183.

11. Conover, W. J. (1999). Practical nonparametric statistics (Vol. 350). john wiley & sons.

12. Dermine, J., & De Carvalho, C. N. (2006). Bank loan losses-given-default: A case study. Journal of Banking & Finance, 30(4), 1219–1243.

13. Dorfleitner, G., Priberny, C., Schuster, S., Stoiber, J., Weber, M., de Castro, I., & Kammler, J. (2016). Description-text related soft information in peer-to-peer lending– evidence from two leading european platforms. Journal of Banking & Finance, 64, 169–187.

14. Eletter, S. F., Yaseen, S. G., & Elrefae, G. A. (2010). Neuro-based artificial intelligence model for loan decisions. American Journal of Economics and Business Administration, 2(1), 27.

15. Emekter, R., Tu, Y., Jirasakuldech, B., & Lu, M. (2015). Evaluating credit risk and loan performance in online peer-to-peer (p2p) lending. Applied Economics, 47(1), 54– 70.

16. Fitzpatrick, T., & Mues, C. (2021). How can lenders prosper? comparing machine learning approaches to identify profitable peer-to-peer loan investments. European Journal of Operational Research, 294(2), 711–722.

17. Foglia, A., Iannotti, S., & Marullo Reedtz, P. (2001). The definition of the grading scales in banks’internal rating systems. Economic Notes, 30(3), 421–456.

18. Freedman, S., & Jin, G. Z. (2017). The information value of online social networks: Lessons from peer-to-peer lending. International Journal of Industrial Organiz tion, 51, 185–222.

19. Friedman, J. H. (2001). Greedy function approximation: a gradient boosting machine. Annals of statistics, 1189–1232.

20. Grunert, J., & Weber, M. (2009). Recovery rates of commercial lending: Empirical evidence for german companies. Journal of Banking & Finance, 33(3), 505–513.

21. Havrylchyk, O., & Verdier, M. (2018). The financial intermediation role of the p2p lending platforms. Comparative Economic Studies, 60(1), 115–130.

22. Heitfield, E. (2004). Rating system dynamics and bank-reported default probabilities under the new basel capital accord. research paper, Board of Governors of the Federal Reserve System, March.

23. Jain, M., & Verma, C. (2014). Adapting k-means for clustering in big data. International Journal of Computer Applications, 101(1), 19–24.

24. Jin, Y., & Zhu, Y. (2015). A data-driven approach to predict default risk of loan for online peer-to-peer (p2p) lending. In 2015 fifth international conference on communication systems and network technologies (pp. 609–613).

25. Kelly, R., & O’Malley, T. (2016). The good, the bad and the impaired: A credit risk model of the irish mortgage market. Journal of Financial Stability, 22, 1–9.

26. Khandani, A. E., Kim, A. J., & Lo, A. W. (2010). Consumer credit-risk models via machine-learning algorithms. Journal of Banking & Finance, 34(11), 2767–2787.

27. Krink, T., Paterlini, S., & Resti, A. (2008). The optimal structure of pd buckets. Journal of Banking & Finance, 32(10), 2275–2286.

28. Kruskal, W. H., & Wallis, W. A. (1952). Use of ranks in one-criterion variance analysis. Journal of the American statistical Association, 47(260), 583–621.

29. Lagarde, C. (2018). Straight talk: A regulatory approach to fintech. Finance & Development, 55(002).

30. Lee, T.-S., Chiu, C.-C., Lu, C.-J., & Chen, I.-F. (2002). Credit scoring using the hybrid neural discriminant technique. Expert Systems with applications, 23(3), 245–254.

31. Levin, A., & Davidson, A. (2005). Prepayment risk-and option-adjusted valuation of mbs. The Journal of Portfolio Management, 31(4), 73–85.

32. Li, Z., Li, K., Yao, X., & Wen, Q. (2019). Predicting prepayment and default risks of unsecured consumer loans in online lending. Emerging Markets Finance and Trade, 55(1), 118–132.

33. Liang, K., & He, J. (2020). Analyzing credit risk among chinese p2p-lending businesses by integrating text-related soft information. Electronic Commerce Research and Applications, 40, 100947.

34. Lin, M. (2009). Peer-to-peer lending: An empirical study.

35. Lin, M., Prabhala, N. R., & Viswanathan, S. (2013). Judging borrowers by the company they keep: Friendship networks and information asymmetry in online peer-to-peer lending. Management science, 59(1), 17–35.

36. Lundberg, S. M., & Lee, S.-I. (2017). A unified approach to interpreting model predictions. Advances in neural information processing systems, 30.

37. Luo, B., & Lin, Z. (2013). A decision tree model for herd behavior and empirical evidence from the online p2p lending market. Information Systems and e-Business Management, 11(1), 141–160.

38. Lyra, M., Paha, J., Paterlini, S., & Winker, P. (2010). Optimization heuristics for determining internal rating grading scales. Computational Statistics & Data Analysis, 54(11), 2693–2706.

39. Papouskova, M., & Hajek, P. (2019). Two-stage consumer credit risk modelling using heterogeneous ensemble learning. Decision support systems, 118, 33–45.

40. Pertaia, G., Prokhorov, A., & Uryasev, S. (2022). A new approach to credit ratings. Journal of Banking & Finance, 140, 106097.

41. Qi, M., & Zhao, X. (2011). Comparison of modeling methods for loss given default. Journal of Banking & Finance, 35(11), 2842–2855.

42. Serrano-Cinca, C., Gutiérrez-Nieto, B., & López-Palacios, L. (2015). Determinants of default in p2p lending. PloS one, 10(10), e0139427.

43. Shi, B., Zhao, X., Wu, B., & Dong, Y. (2019). Credit rating and microfinance lending decisions based on loss given default (lgd). Finance Research Letters, 30, 124–129.

44. Stanhouse, B., & Stock, D. (2004). The impact of loan prepayment risk and deposit withdrawal risk on the optimal intermediation margin. Journal of Banking & Finance, 28(8), 1825–1843.

45. Stepanova, M., & Thomas, L. (2002). Survival analysis methods for personal loan data. Operations Research, 50(2), 277–289.

46. Storn, R., & Price, K. (1997). Differential evolution–a simple and efficient heuristic for global optimization over continuous spaces. Journal of global optimization, 11(4), 341–359.

47. Tsai, M.-C., Lin, S.-P., Cheng, C.-C., & Lin, Y.-P. (2009). The consumer loan default predicting model–an application of dea–da and neural network. Expert Systems with applications, 36(9), 11682–11690.

48. Wan, J., Zhang, H., Zhu, X., Sun, X., & Li, G. (2019). Research on influencing factors of p2p network loan prepayment risk based on cox proportional hazards. Procedia Computer Science, 162, 842–848.

49. Wang, H., Chen, K., Zhu, W., & Song, Z. (2015). A process model on p2p lending. Financial Innovation, 1(1), 1–8.

50. Yan, J., Yu, W., & Zhao, J. L. (2015). How signaling and search costs affect information asymmetry in p2p lending: the economics of big data. Financial Innovation, 1(1), 1–11.

51. Yao, X., Crook, J., & Andreeva, G. (2017). Enhancing two-stage modelling methodology for loss given default with support vector machines. European Journal of Operational Research, 263(2), 679–689.

52. Zhang, Y., & Chi, G. (2018). A credit rating model based on a customer number bellshaped distribution. Management Decision.

53. Zhou, J., Li, W., Wang, J., Ding, S., & Xia, C. (2019). Default prediction in p2p lending from high-dimensional data based on machine learning. Physica A: Statistical Mechanics and its Applications, 534, 122370.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202200929en_US