外部信評報告對P2P借貸平台是否具有資訊價值？

External Credit Report Information Value for Peer-to-Peer Lending Platforms

本文旨在探討外部信用機構報告，對於新型態P2P線上借貸交易是否具有資訊內涵。透過全球最大線上P2P借貸平台Lending Club作為研究對象，並有別於過去文獻探討靜態信用分數與借款人違約機率之關聯性，本文聚焦於借款期間FICO信用分數變動，對借款人違約機率與違約比率之影響。實證結果顯示，在控制了借款人之信用風險等級、風險特徵與原始信用分數等因素後，FICO信用分數變動傳遞出富有價值的訊息內涵。當借款人信用分數遭調降時，其違約機率與比率會顯著增加；相對的，對信用分數被調升的借款人而言，其違約機率和比率都有顯著減低的現象。上述結果表示借款人之履約行為對於FICO信用分數的升降，具有對稱性的反應型態。 This paper examines whether external credit agency reports offer valuable information to peer-to-peer (P2P) onlinelending platforms. In contrast to studies that have explored the relationship between borrowers’ static credit scores and theirdefault probabilities, this study focuses on changes in borrowers’ FICO credit scores and the effect of these changes ondefault probability and breach severity (default ratio). This study is based on data from Lending Club, the world’s largestonline P2P lending platform. The empirical results indicate that changes in the borrowers’ FICO credit scores conveyvaluable information after controlling for borrowers’ credit risk grades, risk characteristics, and original FICO credit scores.The default probability and ratio increase substantially when borrowers suffer FICO credit score decreases. By contrast, forborrowers who experience credit score increases, the default probability and ratio significantly decrease. The results suggestthat the performance of borrowers exhibits a symmetrical reaction to FICO credit score changes.