1.内蒙古财经大学经济学院,内蒙古 呼和浩特 010070;2.辽宁大学经济学院,辽宁 沈阳 110036
关键词 ： 违约风险, 理论利率, 信用等级, 风险溢价
Abstract：With the default risk probability and the risk premium in P2P loan as the research object, this paper uses the Logit model analyze the influence of personal characteristics information on the default risk probability, and applies the Cox model to study the relationship between the loan period and the default risk. It also calculates and compares the different risk premiums formed by the theoretical loan interest rate and the actual loan interest rate of different credit-rating borrowers. The results of the study are as follows: the credit rating, the FICO score level, the debt-to-income ratio and the credit rotation line utilization have an impact on the default risk probability; a longer loan period will give rise to a higher risk behavior; the actual interest rate paid by borrowers with lower credit ratings is lower than the theoretical interest rate, whereas the actual interest rate paid by borrowers with higher credit ratings is higher than the theoretical interest rate; moreover, the creditors have a tendency to add additional risk premiums to borrowers with higher credit ratings.
Key words： Default Risk Theoretical Interest Rate Credit Grade Risk Premiums