Peer-to-peer loan returns: heterogeneous effects across quantiles
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F25%3A00144209" target="_blank" >RIV/00216224:14560/25:00144209 - isvavai.cz</a>
Result on the web
<a href="https://www.tandfonline.com/doi/full/10.1080/13504851.2023.2298412" target="_blank" >https://www.tandfonline.com/doi/full/10.1080/13504851.2023.2298412</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/13504851.2023.2298412" target="_blank" >10.1080/13504851.2023.2298412</a>
Alternative languages
Result language
angličtina
Original language name
Peer-to-peer loan returns: heterogeneous effects across quantiles
Original language description
In this study, we examine how loan and borrowers' characteristics have a different impact on profitable and non-performing loans. Using a quantile regression profit-scoring model estimated with 472,106 loans from the U.S. P2P lending platform Lending Club, we show that higher loan amounts, loan term, interest rate and lower income are associated with lower returns for less creditworthy borrowers, i.e. for under-performed loans. Conversely, for performing loans, higher loan amounts, loan term, interest rates and lower income are associated with higher returns. We also find that borrowers' credit (debt-to-income and FICO score) matters mostly for the tails of the return distribution, to mitigate losses for non-performing loans and improve profits for highest-performing loans. The results have broader implications for the design of credit risk models.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GF22-35130K" target="_blank" >GF22-35130K: Network-based credit risk models on P2P lending markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
APPLIED ECONOMICS LETTERS
ISSN
1350-4851
e-ISSN
1466-4291
Volume of the periodical
32
Issue of the periodical within the volume
7
Country of publishing house
GB - UNITED KINGDOM
Number of pages
6
Pages from-to
960-965
UT code for WoS article
001131736600001
EID of the result in the Scopus database
2-s2.0-105002900384