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

Financial Innovation

Asror Nigmonov¹  Syed Shams² 

[1] University of New South Wales, Sydney, Australia;University of Southern Queensland, Darling Heights, Australia;

关键词: Peer-to-peer lending;    COVID-19;    Coronavirus;    Default risk;    Marketplace lending;    Pandemic;    FinTech;    Shadow banking;    E31;    E43;    G29;    G14;    O16;   

DOI  :  10.1186/s40854-021-00300-x

来源: Springer

【 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.

【 授权许可】

CC BY