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Comparison of Banking and Peer-to-Peer Lending Risks

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Abstract

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.

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Funding

The study was carried out with the financial support of the Russian Foundation for Basic Research within the framework of scientific projects nos. 19-37-51036 and 20-07-00652 as well as of the Russian Foundation for Basic Research and the Japan Society for the Promotion of Science within the framework of scientific project no. 20-51-50007.

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Authors and Affiliations

  1. National Research University Higher School of Economics, Moscow, 101000, Russia

    V. A. Davydov

  2. Skolkovo Institute of Science and Technology, Moscow, 121205, Russia

    S. A. Kruglik & Yu. A. Yanovich

  3. Sirius University of Science and Technology, Sochi, Krasnodar krai, 354340, Russia

    S. A. Kruglik & Yu. A. Yanovich

  4. Kharkevich Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow, 127051, Russia

    Yu. A. Yanovich

Authors
  1. V. A. Davydov
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  2. S. A. Kruglik
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  3. Yu. A. Yanovich
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Corresponding authors

Correspondence to V. A. Davydov, S. A. Kruglik or Yu. A. Yanovich.

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Translated by V. Potapchouck

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Davydov, V.A., Kruglik, S.A. & Yanovich, Y.A. Comparison of Banking and Peer-to-Peer Lending Risks. Autom Remote Control 82, 2155–2168 (2021). https://doi.org/10.1134/S0005117921120079

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  • DOI: https://doi.org/10.1134/S0005117921120079

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