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
收藏
页码：486 / 507
页数：22
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