How to Measure the Quality of Credit Scoring Models

被引：0

作者：

Rezac, Martin ^{[1
]}

Rezac, Frantisek ^{[1
]}

机构：

[1] Masaryk Univ, Brno, Czech Republic

来源：

FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE | 2011年 / 61卷 / 05期

关键词：

credit scoring; quality indices; lift; profit; normally distributed scores; ASSOCIATION; RISK;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Credit scoring models are widely used to predict the probability of client default. To measure the quality of such scoring models it is possible to use quantitative indices such as the Gini index, Kolmogorov-Smirnov statistics (KS), Lift, the Mahalanobis distance, and information statistics. This paper reviews and illustrates the use of these indices in practice.

引用

页码：486 / 507

页数：22

共 50 条

[1] How to Measure the Quality of Credit Scoring Models Discussion
Podpiera, Richard
FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, 2011, 61 (05): : 508 - 509
[2] Subagging for credit scoring models
Paleologo, Giuseppe
Elisseeff, Andre
Antonini, Gianluca
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 201 (02) : 490 - 499
[3] FROM CREDIT SCORING TO REGULATORY SCORING: COMPARING CREDIT SCORING MODELS FROM A REGULATORY PERSPECTIVE
Xia, Yufei
Liao, Zijun
Xu, Jun
LI, Yinguo
TECHNOLOGICAL AND ECONOMIC DEVELOPMENT OF ECONOMY, 2022, 28 (06) : 1954 - 1990
[4] Credit scoring, augmentation and lean models
Banasik, J
Crook, J
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2005, 56 (09) : 1072 - 1081
[5] A comparison study of credit scoring models
Zhang, Defu
Huang, Hongyi
Chen, Qingshan
Jiang, Yi
ICNC 2007: THIRD INTERNATIONAL CONFERENCE ON NATURAL COMPUTATION, VOL 1, PROCEEDINGS, 2007, : 15 - +
[6] Neural network credit scoring models
West, D
COMPUTERS & OPERATIONS RESEARCH, 2000, 27 (11-12) : 1131 - 1152
[7] An application of hybrid models in credit scoring
Bonilla, M
Olmeda, I
Puertas, R
FINANCIAL MODELLING, 2000, : 69 - 78
[8] Validating risk models with a focus on credit scoring models
Dryver, Arthur L.
Sukkasem, Jantra
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2009, 79 (02) : 181 - 193
[9] Visual analytics for monitoring credit scoring models
Baldo, Daiane Rodrigues
Regio, Murilo Santos
Manssour, Isabel Harb
INFORMATION VISUALIZATION, 2023, 22 (04) : 340 - 357
[10] Sample selection in credit-scoring models
Greene, W
JAPAN AND THE WORLD ECONOMY, 1998, 10 (03) : 299 - 316

← 1 2 3 4 5 →