Anil -
Really interesting work and well executed. It looks like you used the API to grab the listing time variable (listD) and then used the disappearance from an API call as the measure of funding time - does that sound right?
A couple thoughts
1) The timing of these loans is right around the period when the platforms were splitting institutional investors and retail investors into their own markets. It would be interesting to see if now that retail investors have their own dedicated market if this is still the case. Even more interesting would be to look at the institutional (whole) loans to see if they have a similar issue.
2) Because you're comparing loans that are 9-12 months old, its really important to use statistical techniques like a hazard model to look at these types of questions. Implicitly they help deal with a truncated sample such as this. It would be different if we were to repeat the exercise on that sample now since all the loans would have reached full term - we could use some simpler statistical techniques like logit/probit or OLS. It's also important to control for multiple characteristics simultaneously to really get down to this question. Is default more likely given credit grade, term, dti, etc... for a particular loan. Sometimes single sorts can be a bit misleading.
If you're ever interested in swinging around to look at this again I'd be glad to collaborate with you on it...
Author