V. А. Davydov, S. A. Kruglik, Yu. A. Yanovich, “Comparison of banking and peer-to-peer lending risks”, Avtomat. i Telemekh., 2021, Issue 12,Pages <nobr>138

This article is cited in 3 papers

Control in Social Economic Systems

Comparison of banking and peer-to-peer lending risks

V. А. Davydov^a, S. A. Kruglik^bc, Yu. A. Yanovich^bcd

^a National Research University Higher School of Economics, Moscow, 101000 Russia
^b Sirius University of Science and Technology, Sochi, Krasnodar krai, 354340 Russia
^c Skolkovo Institute of Science and Technology, Moscow, 121205 Russia
^d Kharkevich Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow, 127051 Russia

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.

Keywords: control in social economic systems, banking risk, peer-to-peer lending, Markowitz optimal portfolio theory.

Presented by the member of Editorial Board: F. T. Aleskerov

Received: 18.01.2021
Revised: 26.05.2021
Accepted: 30.06.2021

DOI: 10.31857/S0005231021120096