Research On Individual Credit Risk Under New Credit Background

The competition and coexistence development of traditional commercial banks and online individual credit business,forms new credit background.Individual credit risk under new credit background,is the risk that lenders and credit institutions suffer loss caused by the default of counterparty or borrowers' unwilling to repay and low repay ability.Consisting of both the individual credit risk of traditional commercial banks and online P2 P lending,individual credit risk under new credit background belongs to more generalized individual credit risk research category.According to statistics,since the end of year 2013,the bad loan rate of domestic commercial banks has continued to raise,the nonperforming loan caused by individual credit business is duty-bound.Meanwhile,the online credit bad debt rate is vague and far more than the same period of commercial banks'.The bankruptcy,suspension and pawn events of P2 P lending platforms are not enough.The harmfulness of individual credit risk becomes increasingly prominent under new credit background,which not only brings significant loss to credit institutions,but also makes a negative impact to the financial market's and social stability.Individual credit risk under new credit background has the characteristics of complexity,controllability,evolution and infectivity.The traditional research theory and methods of individual credit risk based on commercial bank's level,can not adapt to the development demand of research on individual credit risk under new credit background.How to carry out the further discussion of individual credit risk's generation,evolution and effective evaluation,based on the “common” and “difference” of traditional and online individual credit risk,is the main problem need to be discussed in this dissertation.According to the above questions,combining with the reality under new credit background in today's society,the main work of this dissertation is carried out from the following aspects.Firstly,according to the fact that the individual credit default and the "dishonesty" problem surges under new credit background,the cause of individual credit risk's generation is studied in this dissertation.On one hand,based on repay ability,repay situation of social circle and credit institution's supervision and punishment,by embedding the prospect theory,individual borrower's repay willingness model is built in this disisertation.On the other hand,based on development index of P2 P platform,lender's trust tendency,borrower's Sesame credit and lender's investment income,by means of the prospect theory,the P2 P lender's trust model and lender's lending willingness model is built in this dissertation.Through the multi-agent simulation method,the affecting mechanism of individual borrower's repay willingness and P2 P lender's lending willingness,is analyzed and discussed.The research results can be explanatory for the heterogeneity of borrower's behavior decision and the P2 P lending "hermit" behavior,which provides theoretical basis for the cause of individual credit risk's generation under new credit background.Secondly,according to the fact that the individual credit default incidents grouped breakout and form the "flock effect",the evolution of individual credit risk is discussed in this dissertation.From the levels of internal and external factors,the evolution of individual credit risk model is built in this dissertation.Through the mathematical derivation and simulation experiments,the results show that the self-psychological preference on default,repay ability cognition and credit institutation's supervision and punishment directly affects the evolution probability and equilibrium state.Social network neighbor-effect directly affects the evolution speed.The heterogeneity of social network structure affects the evolution process and equilibrium state.The research reveals the evolution mechanism of individual credit risk under new credit background,which can be explanatory for the "flock effect" of individual credit default.Thirdly,according to the fact that the bad loan rate of traditional commercial banks and bad debts rate of online credit are high,building more effective individual credit risk evaluation model is necessary.On one hand,with considering that the single and static evaluation model can not meet the need of individual credit risk evaluation under new credit background,a class of logistic-clustering mixed model and multi-dimensional dynamic evaluation model is built in this dissertation.And based on the domestic commercial bank's individual credit data,the validity of the models has been verified.On the other hand,based on the “difference” of online individual credit risk,combining with the fact that social capital is important to the P2 P lending and online credit,a class of online individual credit risk evaluation model based on online social capital is built in this dissertation,by using k-kernel decomposition method.Based on the collected Sesame credit data,the modification effect of the evaluation model is verified.The research carried out in this dissertation,discusses individual credit risk's generation,evolution and effective evaluation under new credit background from theorical and methodological level,which relatively enriches and improves the traditional commercial bank's research theory system of individual credit risk.Additional,the research on individual credit risk in this dissertation,provides theoretical basis for the individual credit risk control and individual credit business innovation.