Comparison of Banking and Peer-to-Peer Lending Risks

被引：4

作者：

Davydov, V. A. ^{[1
]}

Kruglik, S. A. ^{[2
,3
]}

Yanovich, Yu A. ^{[2
,3
,4
]}

机构：

[1] Natl Res Univ, Higher Sch Econ, Moscow 101000, Russia

[2] Skolkovo Inst Sci & Technol, Moscow 121205, Russia

[3] Sirius Univ Sci & Technol, Soci 354340, Krasnodar Krai, Russia

[4] Russian Acad Sci, Kharkevich Inst Informat Transmiss Problems, Moscow 127051, Russia

来源：

AUTOMATION AND REMOTE CONTROL | 2021年 / 82卷 / 12期

基金：

俄罗斯基础研究基金会; 日本学术振兴会;

关键词：

control in social economic systems; banking risk; peer-to-peer lending; Markowitz optimal portfolio theory; PORTFOLIO VIEW;

D O I：

10.1134/S0005117921120079

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We consider the problem of minimizing the risk taken on by investors in a two-tier (banking) system of lending and a system of peer-to-peer lending, assuming the incoming risks to be constant. It is shown that with the introduction of a special (nonsystematic) risk, the peer-to-peer lending model turns out to be optimal.

引用

页码：2155 / 2168

页数：14

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