Essays on consumer credit markets and risk pricing Weiyu Peng

Format:

Book

Thesis/Dissertation

Author/Creator:

Peng, Weiyu, author.

Contributor:

University of Pennsylvania. Finance., degree granting institution.

Language:

English

Subjects (All):

Finance.

0508.

0338.

0770.

Local Subjects:

Finance.

0508.

0338.

0770.

Genre:

Academic theses

Physical Description:

1 online resource (164 pages)

Contained In:

Dissertations Abstracts International 87-12A

Place of Publication:

Ann Arbor : ProQuest Dissertations and Theses, 2026

Language Note:

English

Summary:

This dissertation consists of two essays on consumer credit markets and the pricing of default risk. The first essay, Default Risk Mispricing in Fintech Credit: Evidence from Marketplace Lending, asks whether fintech platforms deliver on their promise of precise risk pricing. Using 600,000 personal loans from a major U.S. fintech platform (2013-2024), I find that realized investor returns fall short of ex-ante forecasts and are negative for subprime borrowers. The platform underestimates charge-off rates by 1.3 percentage points on average and by up to 7.3 percentage points for subprime loans. Using a regression discontinuity design exploiting rating-specific loan amount caps, I show that larger loans causally increase defaults, yet the platform does not price this risk. The platform originates unusually large loans relative to borrowers' revolving balances, especially in concentrated banking markets, suggesting fintech lenders struggle to compete with incumbents. The second essay, Credit Card Banking, studies why credit card interest rates average 22%-an 18% spread over the short rate, far exceeding spreads on any other loan or bond. We use regulatory account-level data to analyze the lifetime cash flows of 550 million monthly accounts, representing 90% of the US credit card market. Charge-off rates average 6% but explain only a fraction of cards' spread. Non-interest expenses, including rewards, are more than offset by interchange and fee income. Operating expenses, particularly marketing, are large and generate pricing power. After deducting all costs, card lending earns a 6.8% return on assets, over four times the banking sector's. We estimate a 4.3% default risk premium in card rates, comparable to high-yield bonds, and a residual alpha of 1.17% to 1.44%

Notes:

Source: Dissertations Abstracts International, Volume: 87-12, Section: A.

Advisors: Drechsler, Itamar Committee members: Gomes, Joao F.; Musto, David K.

Ph.D. University of Pennsylvania 2026

Vendor supplied data

Local Notes:

School code: 0175

ISBN:

9798247973355

Access Restriction:

Restricted for use by site license