Classification based credit risk analysis: The case of Lending Club

2022/10/11 by Aadi Gupta, Gupta, Aadi, Priya Gulati +3
Business, Management and Accounting · #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Distress and Bankruptcy Prediction #Risk Management (q-fin.RM)

paper · pdf · doi:10.48550/arxiv.2210.05136

openalex publication_date 2022/10/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we performs a credit risk analysis, on the data of past loan applicants of a company named Lending Club. The calculation required the use of exploratory data analysis and machine learning classification algorithms, namely, Logistic Regression and Random Forest Algorithm. We further used the calculated probability of default to design a credit derivative based on the idea of a Credit Default Swap, to hedge against an event of default. The results on the test set are presented using various performance measures.

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