Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...

Search costs for lenders when evaluating potential borrowers are driven by the quality of the underwriting model and by access to data. Both have undergone radical change over the last years, due to the advent of big data and machine learning. For some, this holds the promise of inclusion and...

We use data from TransUnion, a large U.S. credit bureau covering millions of individual consumer loans, to examine the transition to the Current Expected Credit Loss (CECL) accounting standard and its effects on banks' loan pricing and lending decisions. We find no indication that the...

Information asymmetry is a fundamental problem creating malfunctions in the credit market. On the supply side, credit information sharing is recognized as an effective solution to mitigate asymmetric information. On the demand side, however, its impact on discouraged borrowers is missing in...