1.School of Business Administration, Hunan University, Changsha，410082，China; 2.Collaborative Innovation Center of Resource-Conserving & Environment-Friendly Society and Ecological Civilization of Hunan Province， Changsha， 410082， China
Abstract Based on the data of 24 loans released by some internet loan platform in November 2013, this paper introduces industry risk standards of the Basel II Accord into the Risk-Adjusted Return on Capital Model (RAROC) and analyses risk pricing of internet financial loan under platform pricing model. The results show that nine variables, including sex, record of default and inquiries into qualification of guaranty within 2 recent years, have significant impacts on the default behaviors of borrowers. Logistic risk assessment model can predict default probability of internet loans with good accuracy in that the credit score card obtained in this model through linear transformation shows great accuracy. Compared with the fixed interest rate pricing model which is currently widely adopted, the RAROC model based on Basel II is proved to be more flexible and risk-sensitive and helpful in improving the pricing of internet loans.
XIONG Zheng-De,ZHANG Qiu-Ping,XIONG Yi-Feng-. A Study on Risk Pricing of Internet Financial Loan Based on RAROC Model——From the Perspective of Basel Ⅱ Accord. Economic Survey, 2017, 34(5): 0159.
2017, Vol. 34 
