Đurović, Andrija - In: Journal of Central Banking Theory and Practice 6 (2017) 2, pp. 149-167
Arguably a cornerstone of credit risk modelling is the probability of default. This article aims is to search for the … evidence of relationship between loan characteristics and probability of default on peer-to-peer (P2P) market. In line with … survival analysis approach within the vintage framework. Firstly, 12 months probability of default through the cycle is used to …