政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111819

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111819

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113303/144284 (79%)
Visitors : 50815751 Online Users : 695

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Social Science > Department of Economics > Theses > Item 140.119/111819

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/111819

Title:	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 A simulation on the impacts of the collateral system on the Peer-to-Peer platform by using the Bianconi-Barabasi model
Authors:	李昱緯
Contributors:	陳樹衡李昱緯
Keywords:	P2P借貸風險準備金 Bianconi-Barabasi網路模型 P2P lending Risk reservation fund Bianconi-Barabasi model
Date:	2017
Issue Date:	2017-08-10 10:06:46 (UTC+8)
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。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。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。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。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. However, 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. In 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. In 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. This 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
Reference:	[1] Albert-László Barabási (2016). “Network Science: Interactive Textbook” Cambridge University Press. [2] Albert, Reka ; Barabasi, Albert - Laszlo (2002). “Statistical mechanics of complex networks” Reviews of Modern Physics, Jan, 2002, Vol.74(1), 47(52). [3] Bianconi, Ginestra ; Barabasi, Albert-Laszlo (2001) “Bose-Einstein Condensation in Complex Networks.” Physical Review Letters, 2001, Vol.86(24). [4] Daning Hu, Michael C. S. Wong, J. Leon Zhao and Zhimin Hua (2012). “Network based modeling and analysis of systemic in banking system,” MIS Quarterly Vol. 36 No. 4, 1269-1291. [5] doughpack逗派http://www.doughpack.com/ [6] Dror Y. Kenett, Shlomo Havlin (2015). “Network science: a useful tool in economics and finance” Mind & Society, Vol.14(2), 155-167. [7] Enrique Batiz-Zuka, Fabrizio López-Galloa, Serafín Martínez-Jaramilloa, Juan Pablo Solórzano-MargainbaBanco (2015) “Calibrating limits for large interbank exposures from a system-wide perspective” Journal of Financial Stability, Deutsche Bundesbank. [8] Franklin Allen, Ana Babus (2008). “Networks in Finance” Wharton Financial Institutions Center Working Paper No. 08-07. [9] G. A. Mendes and L. R. da Silva (2009). “Generating more realistic complex networks from power-law distribution of fitness” Brazilian Journal of Physics, vol. 39, no. 2A, August, 2009. [10] G. De Masi, G. Iori and G. Caldarelli (2006). “Fitness model for the Italian interbank money market,” PHYSICAL REVIEW E 74. [11] Gai, Prasanna, Kapadia, Sujit (2010). “Contagion in financial networks “Proceedings of the Royal Society A, 2010, Vol.466(2120), 2401-2423. [12] Guido Caldarelli, Alessandro Vespignani (2007). “Large Scale Structure and Dynamics of Complex Networks,” Singapore ; Hackensack, N.J. : World Scientific, c2007. [13] Hüser, Anne-Caroline (2015). “Too Interconnected to Fail: A Survey of the Interbank Networks Literature.” SAFE Working Paper No. 91. [14] Iori, Giulia ; Renò, Roberto ; De Masi, Giulia ; Caldarelli, Guido (2007). “Trading strategies in the Italian interbank market.” Physica A: Statistical Mechanics and its Applications, 2007, Vol.376, 467-479. [15] Lending Club, from：: https://www.lendingclub.com/ [16] León, Carlos ; Berndsen, Ron J. (2014). “Rethinking financial stability: Challenges arising from financialnetworks’ modular scale-free architecture” Journal of Financial Stability, December 2014, Vol.15, 241-256. [17] Levy, M and S. Solomon (1997). “New evidence for the power law distribution of wealth.” Physica A. Statistical Mechanic and its Applications 242(1-2). 90-94. [18] Li , S., He, J.& Zhuang,Y.(2010)“A network model of the interbank market”Physica A: Statistical Mechanics and its Applications, 2010, Vol.389(24), pp.5587-5593. [19] LnB信用市集，檢自：https://lnb.com.tw/ [20] Mark Newman, Albert-Laszlo Barabasi, Duncan J. Watts (2006). “The Structure and Dynamics of Networks,” Princeton University Press, 335-542. [21] Martínez-Jaramillo, Serafín ; Pérez, Omar Pérez ; Embriz, Fernando Avila ; Dey, Fabrizio López Gallo (2010), “Systemic risk, financial contagion and financial fragility.” Journal of Economic Dynamics and Control, 2010, Vol.34(11), pp.2358-2374. [22] Matthew O. Jackson (2008). “Social and economic networks,” Princeton University Press. [23] Matthew O. Jackson, Brian Rogers and Yves Zenou (2015). “The Economic Consequences of Social Network Structure” IDEAS Working Paper Series from RePEc. [24] Matteo Smerlak, Brady Stoll, Agam Gupta, James S. Magdanz (2015). “Mapping Systemic Risk Critical Degree and Failures Distribution in Financial Networks,” PloS one, July 24, 2015. [25] Memmel, Christoph ; Sachs, Angelika (2011) “Contagion in the interbank market and its determinants” Journal of Financial Stability, Deutsche Bundesbank. [26] Mu Sigma, from：https://www.mu-sigma.com/ [27] Oatley, Thomas, Winecoff, W, Pennock, Andrew, Danzman, Sarah (2013) ” The Political Economy of Global Finance: A Network Model” Perspectives on Politics, Mar 2013, Vol.11(1), 133-153. [28] Peter Renton (2012). “The Lending Club Story: How the world`s largest peer to peer lender is transforming finance and how you can benefit” CreateSpace Independent Publishing Platform; 1 edition. [29] P.R. Kumar · Martin J. Wainwright,Riccardo Zecchina (2009). “Mathematical Foundations of Complex Networked Information Systems” Springer Optimization and Its Applications. [30] Rama Cont, Amal Moussa, Edson Bastos e Santos (2010). “Network Structure and Systemic Risk in Banking Systems” SSRN Electronic Journal, December 2010. [31] RateSetter, from：https://www.ratesetter.com/ [32] Rendón de La Torre, Stephanie, Kalda, Jaan, Kitt, Robert, Engelbrecht, Jüri (2016) “On the topologic structure of economic complex networks: empirical evidence from large scale payment network of Estonia” Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear Science, and Nonequilibrium and Complex Phenomena, September 2016, Vol.90, 18-27. [33] Sastry, Nishanth ; Hui, Pan (2012). “Handbook of Optimization in Complex Networks” Handbook of Optimization in Complex Networks, Springer Optimization and Its Applications, v. 57. [34] Simone Lenzua, Gabriele Tedeschi (2012). “Systemic risk on different interbank network topologies” Physica A: Statistical Mechanics and its Applications, 391(18), 4331–4341 [35] Soramäki, Kimmo ; Bech, Morten L. ; Arnold, Jeffrey ; Glass, Robert J. ; Beyeler, Walter E (2007) “The topology of interbank payment flows.” Physica A: Statistical Mechanics and its Applications, 2007, Vol.379(1), 317-333. [36] Valery A. Kalyagin, Panos M. Pardalos, Themistocles M. Rassias (2014). “Network Models in Economics and Finance,” Springer Optimization and Its Applications. [37] Zopa, from：https://www.zopa.com/ [38] 王俊傑(2012)。“無尺度網路特性於財富分配之模擬-網路結構變化對財富分配的影響”。國立中山大學，資訊管理學系，高雄市。 [39] 王斌，(2015)。“互聯網金融+中國經濟新引擎”。機械工業出版社。 [40] 王瑩，P2P平臺“去擔保” 協力廠商擔保引保險入駐，上網日期2014年7月17日，檢自：http://www.yicai.com/news/3994373.html [41] 金評媒，認識RateSetter、ThinCats指引你更好地瞭解英國P2P市場，上網日期2015年8月28日，檢自：http://hy.cebnet.com.cn/20150828/101242337.html [42] 肖璟，(2015)。”風口上的豬一本看懂互聯網金融”。湖北科學技術出版社。 [43] 宜信，檢自：https://www.creditease.cn/ [44] 盈燦諮詢，檢自：http://www.wdzj.com/topic/baidutuiguang/index3.html [45] 馬兆林，(2016)。”一本書讀懂P2P新玩法”。人民郵電出版社。 [46] 黃益平、王海明、沈艷、黃卓，(2016)。”互聯網金融十二講”。中國人民大學出版社。 [47] 黃益平、沈豔、王靖一，(2015)。“哪類個體網路借貸平台容易出問題？對3439 家平台特徵的分析與對監管框架的思考”。 [48] 陳勇、楊定平、宋智一，(2015)。“中國互聯網金融研究報告”。中國經濟出版社。 [49] 殷偉豪，银行资金存管4月上线合拍在线合规再进一步，上網日期2017年3月29日，檢自：http://finance.chinanews.com/cj/2017/03-29/8186095.shtml [50] 曹磊、錢海利，(2015)。“互聯網+普惠金融：新金融時代”。機械工業出版社。 [51] 馮宏遠，淺論美國P2P借貸，上網日期2015年9月29日，檢自：https://www.facebook.com/StockAlchemy/posts/854400528007923 [52] 鄉民貸，檢自：https://www.lend.com.tw/index.html [53] 零壹研究社，(2015)。“百變互聯網金理財”。東方出版社。 [54] 楊振翔、劉維中、潘建興，(2012)。“知識天地, 大型網絡之分析”。中央研究院週報，第1382期，5-9。 [55] 楊濤、李鑫、王錸，(2016)。“真實的P2P網貸－創新、風險與監督”。經濟管理出版社。 [56] 戴廷晃(2011)。“社會凝聚機能與群結構動態對爆紅現象之影響-網絡玻色-愛因斯坦凝聚原理之應用”。國立中央大學，企業管理學系，桃園市。 [57] 管清友,、高偉剛，(2015)。“互聯網金融：概念、要素與生態” 。浙江人民出版社。 [58] 網貸之家，檢自：http://www.wdzj.com/ [59] 網貸之家，《P2P監管細則暫行辦法(徵求意見稿)》全文，上網日期2015年12月28日，檢自：http://www.wdzj.com/news/zhengce/25454.html [60] 謝平、鄒傳偉、瀏海二，(2015)。“互聯網金融”。中國人民大學出版社。
Description:	碩士國立政治大學經濟學系 103258028
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0103258028
Data Type:	thesis
Appears in Collections:	[Department of Economics] Theses

Files in This Item:

File	Size	Format
802801.pdf	2612Kb	Adobe PDF2	383	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback