Artikel
Estimating Probability of Default on Peer to Peer Market – Survival Analysis Approach
Arguably a cornerstone of credit risk modelling is the probability of default. This article aims is to search for the evidence of relationship between loan characteristics and probability of default on peer-to-peer (P2P) market. In line with that, two loan characteristics are analysed: 1) loan term length and 2) loan purpose. The analysis is conducted using survival analysis approach within the vintage framework. Firstly, 12 months probability of default through the cycle is used to compare riskiness of analysed loan characteristics. Secondly, log-rank test is employed in order to compare complete survival period of cohorts. Findings of the paper suggest that there is clear evidence of relationship between analysed loan characteristics and probability of default. Longer term loans are more risky than the shorter term ones and the least risky loans are those used for credit card payoff.
- Sprache
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Englisch
- Erschienen in
-
Journal: Journal of Central Banking Theory and Practice ; ISSN: 2336-9205 ; Volume: 6 ; Year: 2017 ; Issue: 2 ; Pages: 149-167 ; Warsaw: De Gruyter Open
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Duration Analysis; Optimal Timing Strategies
- Thema
-
Peer-to-peer market
Probability of default
Survival analysis
Vintage framework.
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Đurović, Andrija
- Ereignis
-
Veröffentlichung
- (wer)
-
De Gruyter Open
- (wo)
-
Warsaw
- (wann)
-
2017
- DOI
-
doi:10.1515/jcbtp-2017-0017
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Đurović, Andrija
- De Gruyter Open
Entstanden
- 2017
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