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@article{866856,
author = {Řezáč, Martin and Řezáč, František},
article_number = {1},
keywords = {Portfolio management; predictive modelling; credit scoring; quality indexes.},
language = {eng},
issn = {1790-4870},
journal = {The Journal of Financial Decision Making},
title = {Quality Indexes of Predictive Models in Risk and Portfolio Management},
url = {http://www.jfdm.org/},
volume = {6},
year = {2010}
}
TY - JOUR
ID - 866856
AU - Řezáč, Martin - Řezáč, František
PY - 2010
TI - Quality Indexes of Predictive Models in Risk and Portfolio Management
JF - The Journal of Financial Decision Making
VL - 6
IS - 1
SP - 57-67
EP - 57-67
SN - 17904870
KW - Portfolio management
KW - predictive modelling
KW - credit scoring
KW - quality indexes.
UR - http://www.jfdm.org/
N2 - For a measurement of partial processes of a financial institution, especially their components like scoring models or other predictive models, it is possible to use quantitative indexes such as Gini index, K-S statistics, Lift and Information statistics. They can be used for comparison of several developed models at the moment of development. It is possible to use them for monitoring of quality of models after the deployment into real business as well. The outcome is then an effective tool to attract new creditworthy customers, and at the same time, control losses. This paper deals with definition of good/bad client, which is crucial for further computations. The main part is devoted to quality indexes based on distribution functions and on density functions. It brings some interesting results connected to Lift in general and for normally distributed data. An application on real data is included too.
ER -
ŘEZÁČ, Martin and František ŘEZÁČ. Quality Indexes of Predictive Models in Risk and Portfolio Management. \textit{The Journal of Financial Decision Making}. 2010, vol.~6, No~1, p.~57-67. ISSN~1790-4870.
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