Is Automated Credit Grading Always Right?
Data-driven models to assess and price credit risk have been widely adopted in finance industry.Information asymmetries leading to market failure has been the subject of extensive research.And it is a reasonable deduction that there exists much more serious asymmetrical information in online peer-to-peer lending such a nascent but burgeoning industry,especially in an emerging market,for example,China.By a unique data set from PPDai.com,we find that automated credit grading screens ex ante credit risk effectively in most situations even the credit grade is assigned with limited information submitted by the potential borrowers.There exists misspecification of the risk grade of the loans when the risk grade is high,however.We also document that the higher interest rate is corresponding to a larger default rate when the risk grade of the loan is controlled.It indicates that price is still an effective signal,information asymmetries do not affect the market mechanism seriously.
Emerging Market Peer-to-Peer Lending Automated Credit Grading Asymmetric Information Default Risk
Pengzhi Zeng Geng Peng Jialin Li
University of Chinese Academy of Sciences,Zhongguancun Road East 80,Haidian District,Beijing and 100190,China
国际会议
上海
英文
211-218
2017-07-07（万方平台首次上网日期，不代表论文的发表时间）