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

LYÓCSA, Štefan, Petra VASANICOVA a Oleg DEEV. Peer-to-peer loan returns: heterogeneous effects across quantiles. Applied Economics Letters. UK: Taylor & Francis, 2024, 6 s. ISSN 1350-4851. Dostupné z: https://dx.doi.org/10.1080/13504851.2023.2298412.

Základní údaje

• Originální název: Peer-to-peer loan returns: heterogeneous effects across quantiles
• Autoři: LYÓCSA, Štefan, Petra VASANICOVA a Oleg DEEV.
• Vydání: Applied Economics Letters, UK, Taylor & Francis, 2024, 1350-4851.

Další údaje

• Originální jazyk: angličtina
• Typ výsledku: Článek v odborném periodiku
• Obor: 50200 5.2 Economics and Business
• Utajení: není předmětem státního či obchodního tajemství
• WWW: URL
• Impakt faktor: Impact factor: 1.600 v roce 2022
• Organizační jednotka: Ekonomicko-správní fakulta
• Doi: http://dx.doi.org/10.1080/13504851.2023.2298412
• UT WoS: 001131736600001
• Klíčová slova anglicky: Peer-to-peer loans; loan performance; profit-scoring; quantile regression
• Příznaky: Mezinárodní význam, Recenzováno

Anotace

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.