A Reach for Risk: Pricing Credit and Liquidity in ABS

2021 ◽  
Vol 26 (4) ◽  
pp. 15-24
Author(s):  
John N. McElravey
Keyword(s):  
Author(s):  
Gordon Schulze
Keyword(s):  

A correction to this paper has been published: https://doi.org/10.1007/s11293-021-09708-3


2020 ◽  
pp. 1-12
Author(s):  
Cao Yanli

The research on the risk pricing of Internet finance online loans not only enriches the theory and methods of online loan pricing, but also helps to improve the level of online loan risk pricing. In order to improve the efficiency of Internet financial supervision, this article builds an Internet financial supervision system based on machine learning algorithms and improved neural network algorithms. Moreover, on the basis of factor analysis and discretization of loan data, this paper selects the relatively mature Logistic regression model to evaluate the credit risk of the borrower and considers the comprehensive management of credit risk and the matching with income. In addition, according to the relevant provisions of the New Basel Agreement on expected losses and economic capital, starting from the relevant factors, this article combines the credit risk assessment results to obtain relevant factors through regional research and conduct empirical analysis. The research results show that the model constructed in this paper has certain reliability.


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