P2P借貸平台信用風險之再驗證-以Lending Club為例

本研究主要以全球最大線上P2P 借貸平台- Lending Club 作為研究對象，探討影響平台信用風險特徵之因素。相較過去研究多採借款人申請時靜態之 FICO 信用分數，並僅對呆帳發生與否進行探討。本研究主要貢獻在於探討借款人FICO 信用分數於借款期間之變化及借款期限此兩項風險特徵，對借款人呆帳發生與否，呆帳發生程度與形成呆帳速度等信用風險特徵之影響。研究結果顯示，FICO 信用分數的下修，確實顯著正向影響呆帳發生與否與呆帳程度，但反而延緩呆帳形成的速度；而唯有當高風險且 FICO 分數又面臨下修之借款人，才會加速其呆帳的發生。另外，當借款人的借款期限愈長，對呆帳發生及呆帳程度亦有顯著正向影響。

This paper reexamines the determinants of credit risks by investigating Lending Club, which is the largest online P2P lending platform in the world. Comparing with prior studies use static applied FICO credit score and examine whether borrowers default or not. This study focuses on the impact of the change in FICO credit score, borrow term on whether borrowers is delinquent or not, the degree and the speed of delinquency. Those results reveal that borrowers facing FICO downgrade do increase significantly the probability and the degree of delinquency. But only for borrowers with higher risk and incur a FICO downgrades, the change in FICO accelerate the occurrence of delinquency. In addition, the term of borrow also provide an additional explanation, there is a significantly positive impact on the probability and the degree of delinquency.
Keywords：Online P2P lending, Lending Club, Credit risk, FICO