Peer-to-peer loan returns: heterogeneous effects across quantiles

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Peer-to-peer loan returns: heterogeneous effects across quantiles

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Peer-to-peer loan returns: heterogeneous effects across quantiles

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GF22-35130K" target="_blank" >GF22-35130K: Modely úvěrového rizika na P2P trzích využívající teorie grafů</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

APPLIED ECONOMICS LETTERS

ISSN

1350-4851

e-ISSN

1466-4291

Svazek periodika

32

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

6

Strana od-do

960-965

Kód UT WoS článku

001131736600001

EID výsledku v databázi Scopus

2-s2.0-105002900384