How large of a dataset are you looking at? I'm curious as to whether Lending Club's publicly available data will be lengthy enough to get meaningful accurate results for general 5-10 year loan predictions. Though it is nice that a economic crash happened to occur in the middle.
of course more data is always better, but there are plenty of flexible models that can learn form small data, so just try the lending club data and if your model isn't learning anything choose a more flexible one...
Very interesting stuff. Is it just you for personal interest?