Survival Analysis Applied to Marketplace Loans

In Credit Risk Modeling by Matt KelsoLeave a Comment

MonJa would like to introduce Professor Matthew Dixon, whose current research interests include credit modeling for peer-to-peer loans.

Over the last several months, Prof Dixon and Litong Dong, recent graduate of USF, have engaged in a collaborative research project with us here at MonJa. Their research focuses on survival analysis and how it might apply to marketplace notes.

Today’s post is a white paper describing how to prepare the data and build a credit risk model that can be used for a number of applications including generating alpha, issuing protection and securitizing loans into bonds with the desired risk/reward profile.

This is the first in a series of posts from this project. Enjoy!

View the white paper

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