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

J 2025

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

LYÓCSA, Štefan; Petra VASANICOVA a Oleg DEEV

Základní údaje

Originální název

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

Autoři

LYÓCSA, Štefan (703 Slovensko, garant, domácí); Petra VASANICOVA a Oleg DEEV (643 Rusko, domácí)

Vydání

APPLIED ECONOMICS LETTERS, ENGLAND, ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2025, 1350-4851

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Velká Británie a Severní Irsko

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 1.200 v roce 2023

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.1080/13504851.2023.2298412

UT WoS

001131736600001

EID Scopus

2-s2.0-105002900384

Klíčová slova anglicky

Peer-to-peer loans; loan performance; profit-scoring; quantile regression

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 29. 6. 2025 09:27, prof. Ing. Štefan Lyócsa, PhD.

Anotace

V originále

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.

Návaznosti

GF22-35130K, projekt VaV

Název: Modely úvěrového rizika na P2P trzích využívající teorie grafů

Citovat

LYÓCSA, Štefan; Petra VASANICOVA a Oleg DEEV. Peer-to-peer loan returns: heterogeneous effects across quantiles. APPLIED ECONOMICS LETTERS. ENGLAND: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2025, roč. 32, č. 7, s. 960-965. ISSN 1350-4851. Dostupné z: https://dx.doi.org/10.1080/13504851.2023.2298412.

@article{2359113,
   author = {Lyócsa, Štefan and Vasanicova, Petra and Deev, Oleg},
   article_location = {ENGLAND},
   article_number = {7},
   doi = {http://dx.doi.org/10.1080/13504851.2023.2298412},
   keywords = {Peer-to-peer loans; loan performance; profit-scoring; quantile regression},
   language = {eng},
   issn = {1350-4851},
   journal = {APPLIED ECONOMICS LETTERS},
   title = {Peer-to-peer loan returns: heterogeneous effects across quantiles},
   url = {https://www.tandfonline.com/doi/full/10.1080/13504851.2023.2298412},
   volume = {32},
   year = {2025}
}

TY  - JOUR
ID  - 2359113
AU  - Lyócsa, Štefan - Vasanicova, Petra - Deev, Oleg
PY  - 2025
TI  - Peer-to-peer loan returns: heterogeneous effects across quantiles
JF  - APPLIED ECONOMICS LETTERS
VL  - 32
IS  - 7
SP  - 960-965
EP  - 960-965
PB  - ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
SN  - 13504851
KW  - Peer-to-peer loans
KW  - loan performance
KW  - profit-scoring
KW  - quantile regression
UR  - https://www.tandfonline.com/doi/full/10.1080/13504851.2023.2298412
N2  - 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.
ER  -

LYÓCSA, Štefan; Petra VASANICOVA a Oleg DEEV. Peer-to-peer loan returns: heterogeneous effects across quantiles. \textit{APPLIED ECONOMICS LETTERS}. ENGLAND: ROUTLEDGE JOURNALS, TAYLOR \&{} FRANCIS LTD, 2025, roč.~32, č.~7, s.~960-965. ISSN~1350-4851. Dostupné z: https://dx.doi.org/10.1080/13504851.2023.2298412.

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