Author Topic: New LendingClub Parameterizations for Publications  (Read 7552 times)

brycemason

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New LendingClub Parameterizations for Publications
« on: July 19, 2014, 12:55:05 PM »
Over the last year we've learned a lot about how to do credit modeling and how to build portfolios to meet client needs. There are two changes beginning at 10 a.m. today. First, the Profit Maximizer publication acts on C-F notes and the Loss Minimizer acts on A & B notes. This is only meant to partition the products and we want to assure our subscribers that we continue to perform risk modeling independent of LendingClub. Second, we've moved toward a risk-adjusted methodology, which reflects learning from our work with institutional clients. Developed more recently, the Prosper publications already behave in a similar fashion. The naming convention is exactly the same as before, "Top 5/10/25%." The graphic below illustrates the new selection method (where the dots are plotted is reflective of our proprietary credit model, which continues to improve).
« Last Edit: July 19, 2014, 01:51:51 PM by brycemason »

Simon

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Re: New LendingClub Parameterizations for Publications
« Reply #1 on: July 19, 2014, 01:02:05 PM »
Interesting. Thanks Bryce.
Writes at the peer to peer lending site LendingMemo.

lascott

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Re: New LendingClub Parameterizations for Publications
« Reply #2 on: July 19, 2014, 01:47:29 PM »
Over the last year we've learned a lot about how to do credit modeling and how to build portfolios to meet client needs. There are two changes beginning at 10 a.m. today. First, the Profit Maximizer publication acts on C-F notes and the Loss Minimizer acts on A & B notes. This is only meant to partition the products and we want to assure our subscribers that we continue to perform risk modeling independent of LendingClub. Second, we've moved toward a more risk-adjusted methodology, which reflects learning from our work with institutional clients. Developed more recently, the Prosper publications already behave in a similar fashion. The naming convention is exactly the same as before, "Top 5/10/25%." The graphic below illustrates the new selection method (where the dots are plotted is reflective of our proprietary credit model, which continues to improve).
Thanks for the transparency on all this.  I had some rules set up for Loss Min C grades in BlueVestments that I will now remove.

Appreciate the visual chart as well.  Would like to help set up a ROTH IRA for somone I know based on this.
Tools I use: (main) BlueVestment: https://www.bluevestment.com/app/pricing + https://www.interestradar.com/ , (others) Lending Robot referral link: https://www.lendingrobot.com/ref/scott473/  & Peercube referral code: DFVA9Y

BruiserB

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New LendingClub Parameterizations for Publications
« Reply #3 on: July 19, 2014, 03:26:52 PM »
Thanks for the update!  Appreciate your work.


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rawraw

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Re: New LendingClub Parameterizations for Publications
« Reply #4 on: July 19, 2014, 05:48:59 PM »
Second, we've moved toward a risk-adjusted methodology, which reflects learning from our work with institutional clients.
What does that mean, exactly?

Also, guess I'm going to have to change one of my LM strategies.

brycemason

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New LendingClub Parameterizations for Publications
« Reply #5 on: July 19, 2014, 09:19:06 PM »
It means the lines used to be horizontal and vertical, rather than tilted.

BruiserB

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New LendingClub Parameterizations for Publications
« Reply #6 on: July 19, 2014, 11:23:29 PM »

It means the lines used to be horizontal and vertical, rather than tilted.

Great explanation!  I actually looked at your diagram and wondered why the loss minimizer line wasn't vertical since that would reflect a constant probability of loss.  And the same for profit maximizer since a horizontal line would reflect a constant rate of return.  I can see why you'd want to slant the lines some in both cases though to reflect risk.....interesting.


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Rob L

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Re: New LendingClub Parameterizations for Publications
« Reply #7 on: July 20, 2014, 09:25:33 AM »
Very informative graph. Thanks.
The only other obvious question is your selection method of the loans (dots) shown.
Pretty sure, but for the record these are the last N loans most recently scored by your model at the time of the study; Correct?
Can't tell; maybe 500 - 1000 of them.

lascott

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Re: New LendingClub Parameterizations for Publications
« Reply #8 on: July 20, 2014, 11:03:34 AM »
A little more insight in Bryce's presentation at LendIt.
https://www.youtube.com/watch?v=lB9v-a6AgC4

Via:
Title: Must See LendIt Videos for Retail Peer Lending Investors - July 18, 2014 by Ryan Lichtenwald
http://peersociallending.com/investing/must-see-lendit-videos-retail-peer-lending-investors/
« Last Edit: July 20, 2014, 01:07:45 PM by lascott »
Tools I use: (main) BlueVestment: https://www.bluevestment.com/app/pricing + https://www.interestradar.com/ , (others) Lending Robot referral link: https://www.lendingrobot.com/ref/scott473/  & Peercube referral code: DFVA9Y

brycemason

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Re: New LendingClub Parameterizations for Publications
« Reply #9 on: July 20, 2014, 12:38:12 PM »
They are January 2014 36-month originations. I check the cut points semiannually or so. I had to recalibrate everything for this change. I think people will like the change.

rockinray

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Re: New LendingClub Parameterizations for Publications
« Reply #10 on: July 21, 2014, 09:14:49 AM »
Bryce,

This looks just great and thank you for all of your efforts!

I am confused here. Is BlueVestment up and running for P2P Picks right now or no? I have been "testing" Automated Investing but would like to go back to BV / P2P.

Are things working at this point?

Thanks - Ray

brycemason

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Re: New LendingClub Parameterizations for Publications
« Reply #11 on: July 21, 2014, 10:04:49 AM »
We have resumed picks. BV works afaik.

rockinray

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Re: New LendingClub Parameterizations for Publications
« Reply #12 on: July 21, 2014, 10:48:03 AM »
Cool - thanks!

Ray