Modeling Lending Club Loans

Lending Club is a peer-to-peer lending site, where investors can browse and buy consumer loans. The interest rates on these loans may be as high as 25%, but such loans naturally carry a high risk of default. If we can build a system to predict which loans will default, we can dramatically improve our returns. The source code (including the analysis) can be found here.

This is Isaac Carruthers's project while a fellow at The Data Incubator. The Data Incubator is an intensive six-week fellowship that prepares the best scientists and engineers with advanced degrees to work as data scientists and quants. It identifies fellows who already have the 90% difficult-to-learn skills and equips them with the last 10%: the tools and technology stack that make them self-sufficient, productive contributors.

The Data

Lending club provides historical data

The Model

The Results

Select your loan-score cutoff below

Limit portfolio to upper 90th centile of expected returns:
This portfolio requires a minimum investment of $ 55250