Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217624
Authors: 
Đurović, Andrija
Year of Publication: 
2017
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 6 [Issue:] 2 [Publisher:] De Gruyter Open [Place:] Warsaw [Year:] 2017 [Pages:] 149-167
Publisher: 
De Gruyter Open, Warsaw
Abstract: 
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.
Subjects: 
Peer-to-peer market
Probability of default
Survival analysis
Vintage framework.
JEL: 
G11
G23
C41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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