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Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
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For the emerging peer-to-peer (P2P) lending markets to survive, they need to employ credit risk management practices …-of-sample framework, our approach overwhelmingly dominates standard credit scoring models that are based on labeling loans as either … significantly--almost 2.5 times--higher when using our profit scoring approach compared to the standard credit-scoring model based …
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