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@article{2359113, author = {Lyócsa, Štefan and Vasanicova, Petra and Deev, Oleg}, article_location = {UK}, 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}, year = {2024} }
TY - JOUR ID - 2359113 AU - Lyócsa, Štefan - Vasanicova, Petra - Deev, Oleg PY - 2024 TI - Peer-to-peer loan returns: heterogeneous effects across quantiles JF - Applied Economics Letters PB - Taylor & Francis 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 and Oleg DEEV. Peer-to-peer loan returns: heterogeneous effects across quantiles. \textit{Applied Economics Letters}. UK: Taylor \&{} Francis, 2024, 6 pp. ISSN~1350-4851. Available from: https://dx.doi.org/10.1080/13504851.2023.2298412.
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