J 2013

Determining the Target Variable in Credit Scoring Models

ŘEZÁČ, Martin

Basic information

Original name

Determining the Target Variable in Credit Scoring Models

Authors

ŘEZÁČ, Martin (203 Czech Republic, guarantor, belonging to the institution)

Edition

The GSTF Journal of Mathematics, Statistics and Operations Research, 2013, 2251-3388

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

10103 Statistics and probability

Country of publisher

India

Confidentiality degree

není předmětem státního či obchodního tajemství

RIV identification code

RIV/00216224:14310/13:00068765

Organization unit

Faculty of Science

DOI

Keywords in English

credit scoring;indeterminate value;risk management;target variable

Tags

Tags

International impact, Reviewed
Změněno: 28/4/2014 13:46, Ing. Zdeňka Rašková

Abstract

V originále

Determination the target variable is the crucial point in the whole development process of credit scoring models, which are an essential part of risk management. Usually some Good/Bad definition is applied. In this paper we study the effect of use of indeterminate value of target variable. We explain the basic principles of logistic regression modelling and definition of the target variable. Next, the focus is given to introduction of some of the widely used statistics for model assessment. The main part of the paper is devoted to development and assessment of several credit scoring models on real credit data, which are built up and assessed according various definitions of target variable. We show that there is a valid reason for some target definitions to include the indeterminate value into the modelling process, as it provided us with convincing results.