I have pulled the public data on the performance tab by hand in order to produce a spreadsheet of loan performance.
This spreadsheet was then pivoted and aggregated in order to produce 1 month late curves by credit grade and Markov Chains which can be used (when 42 months of data is available) to solve for the expected value of Prosper Loans by credit grade.
I have limited the graphs to 10 months of graph so that there is a minimum of 6 months of data. As you can see E and HR are SCARY! For that matter, A, B, C, and D are all at or above 5% cumulative default rate at month 10. AA seems to be performing as expected. (I just happen to be unlucky enough to be in 2 AAs that are 1 month or more late.)
1 Month Late or Worse by Count:
1 Month Late or Worse by Amount:
Questions, Comments, Screams of Anguish?
This graph was inspired by Pninen: http://www.rateladder.com/2007/06/02/prosper-1-month-late-or-worse-curves-by-monthly-cohort/
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5 comments ↓
How about a legend for the graphs? With the cyan and yellow crossing, it’d be good to know who’s who.
Mike
There is a ledged, but it is hidden by ads. Click the picture to see it…
[...] RateLadder posted new Prosper Vintage Curves. He posted previously an explanation of vintage curves if the graph leaves you scratching your head. [...]
[...] methodolgy or the sql for obtaining the data these curves from the private data export has already been [...]
[...] methodolgy or the sql for obtaining the data these curves from the private data export have already been [...]
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