ŘEZÁČ, Martin. Determining the Target Variable in Credit Scoring Models. The GSTF Journal of Mathematics, Statistics and Operations Research. 2013, vol. 2, No 1, p. 125-130. ISSN 2251-3388. Available from: https://dx.doi.org/10.5176/2251-3388_.
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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
Original language English
Type of outcome Article in a journal
Field of Study 10103 Statistics and probability
Country of publisher India
Confidentiality degree is not subject to a state or trade secret
RIV identification code RIV/00216224:14310/13:00068765
Organization unit Faculty of Science
Doi http://dx.doi.org/10.5176/2251-3388_
Keywords in English credit scoring;indeterminate value;risk management;target variable
Tags AKR, rivok, ZR
Tags International impact, Reviewed
Changed by Changed by: Ing. Zdeňka Rašková, učo 140529. Changed: 28/4/2014 13:46.
Abstract
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.
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