COVID‑19 pandemic risk and probability of loan default:evidence from marketplace lending market  

作　　者：Asror Nigmonov Syed Shams 

机构地区：[1]University of New South Wales,Sydney,Australia [2]University of Southern Queensland,Darling Heights,Australia

出　　处：《Financial Innovation》2021年第1期1967-1994,共28页金融创新（英文）

摘　　要：As the COVID-19 pandemic adversely affects the financial markets,a better understanding of the lending dynamics of a successful marketplace is necessary under the conditions of financial distress.Using the loan book database of Mintos(Latvia)and employing logit regression method,we provide evidence of the pandemic-induced exposure to default risk in the marketplace lending market.Our analysis indicates that the probability of default increases from 0.056 in the pre-pandemic period to 0.079 in the post-pandemic period.COVID-19 pandemic has a significant impact on default risk during May and June of 2020.We also find that the magnitude of the impact of COVID-19 risk is higher for borrowers with lower credit ratings and in countries with low levels of FinTech adoption.Our main findings are robust to sample selection bias allowing for a better understanding of and quantifying risks related to FinTech loans during the pandemic and periods of overall economic distress.

关 键 词：Peer-to-peer lending COVID-19 CORONAVIRUS Default risk Marketplace lending PANDEMIC FinTech Shadow banking 

分 类 号：R73[医药卫生—肿瘤]