Predicting Expected Profit in Ongoing Peer-to-Peer Loans with Survival Analysis-Based Profit Scoring

Ajay Byanjankar, Markus Viljanen

Tutkimustuotos: Artikkeli kirjassa/raportissa/konferenssijulkaisussaKonferenssiartikkeliTieteellinenvertaisarvioitu

24 Lataukset (Pure)

Abstrakti

The growing popularity of P2P lending has attracted more borrowers and lenders to the sector. With the growth in the popularity of P2P lending, there have been many studies focusing on analyzing credit risk in P2P lending. However, the credit risk is only a part of the story. The higher interest rates are allocated to the riskier loans, and the higher interest rates may or may not in fact compensate for the defaults expected. Therefore, the profit of a loan depends on both the interest rate and the default probability. Since investors are ultimately concerned with return on investment, models should help investors to predict the profit as accurately as possible. We develop a model that predicts the expected profit of a loan using survival analysis-based monthly default probability. Our approach extends previous profit scoring approaches, since it can be applied to any loan data set, including current data sets with many ongoing loans.

AlkuperäiskieliEi tiedossa
OtsikkoIntelligent Decision Technologies 2019
KustantajaSpringer
Sivut15–26
ISBN (painettu)978-981-13-8311-3
DOI - pysyväislinkit
TilaJulkaistu - 2019
OKM-julkaisutyyppiA4 Artikkeli konferenssijulkaisuussa
TapahtumaInternational Conference on Intelligent Decision Technologies - International Conference on Intelligent Decision Technologies
Kesto: 1 tammikuuta 2019 → …

Konferenssi

KonferenssiInternational Conference on Intelligent Decision Technologies
Ajanjakso01/01/19 → …

Viittausmuodot