Comparison of Banking and Peer-to-Peer Lending Risks

被引：3
|
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
收藏
页码：2155 / 2168
页数：14
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