An Empirical Study Of P2P Loan Default Rate Model Based On Data From RenRen Dai

P2P lending as a new pattern of private lending,in recent years has boomed in the domestic market at the same time also with problems,the core problem mainly ascribes to the credit risk problem,namely the risk of borrower default.Default is costly for each P2P participant.On the one hand,investors and P2P platform will confront great losses.Increasing the platform operating costs,while the investor's return on investment is also discounted.On the other hand,borrowers have to pay for default,including:obtain a lower credit rating,fewer lending opportunities in the future.Probability of default is a key parameter to quantify credit risk,so the effective calculation method and model for the probability of default are particularly important.In this paper,the empirical study of loan default rate model is based on a sample of transaction data collected from RenRen Dai.First,establish the evaluation index system of loan default rate.Then construct loan default rate model based on the evaluation index system,through binary Logistic regression,determine the key factors explaining the default rate,and test the predictive ability and robustness of the model,the empirical results indicate that the model has good predictive ability and robustness,investors can calculate the borrower's default rate by the model,thus making the credit assessment of borrowers,who are good borrowers or default borrowers,that is,whether default.For further analysis about when borrowers default,we use the survival analysis of COX regression to research the factors explaining the survival time of loan,namely the borrower's default time,and draw the loan survival curve.Through the above analysis of whether default and when default,some conclusions are drawn:the loan amount,interest rate,term are positively correlated with the default rate,are negatively related with the survival time of loan.Education,grade,line of credit,frequency of borrowing,video certification,weibo certification,education certification,house certification and car certification are negatively correlated with the default rate,are positively associated with the survival time of loan.Finally,in order to estimate the investment returns,we use the same sample data,independent variables and method to construct the early repayment model.Based on default rate and early repayment rate,expected return model is constructed,and we compare the expected average return on investment and real investment returns from three dimensions of year,term and grade,It confirms that the model has a good ability to estimate investment returns.this paper not only researches whether default,when default,also builds the expected return model which investors care about,from the perspective of quantitative,different than previous research literatures,which research P2P lending market from the perspective of qualitative.Provide investors with the deep analysis means and tools to judge the borrower's creditworthiness.Help investors to measure returns and risk of investment,optimize investment plan,also conducive to the platform to quantify credit risk,also can strengthen the borrower's sense of urgency of default risk management.