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@inproceedings{942773,
author = {Koláček, Jan and Řezáč, Martin},
address = {Rome, Italy},
booktitle = {PROCEEDINGS ASMDA 2011},
editor = {Raimondo Manca, Christos H. Skiadas},
keywords = {Credit scoring; Quality indexes; Gini index; Lift},
howpublished = {paměťový nosič},
language = {eng},
location = {Rome, Italy},
isbn = {978-88-467-3045-9},
pages = {720-727},
publisher = {Edizioni ETS},
title = {Quality Measures for Predictive Scoring Models},
year = {2011}
}
TY - JOUR
ID - 942773
AU - Koláček, Jan - Řezáč, Martin
PY - 2011
TI - Quality Measures for Predictive Scoring Models
PB - Edizioni ETS
CY - Rome, Italy
SN - 9788846730459
KW - Credit scoring
KW - Quality indexes
KW - Gini index
KW - Lift
N2 - Credit scoring models are widely used to predict a probability of an event like client's default. To measure the quality of scoring models it is possible to use quantitative indexes such as Gini index, K-S statistics and Lift. They are used for comparison of several developed models at the moment of development as well as for monitoring of quality of those models after deployment into real business. The paper deals with mentioned quality indexes, their properties and relationships. Finally, a new approach to measure power of scoring models is discussed and a new quality index is proposed. A simulation study compares it with other quality indexes.
ER -
KOLÁČEK, Jan a Martin ŘEZÁČ. Quality Measures for Predictive Scoring Models. In Raimondo Manca, Christos H. Skiadas. \textit{PROCEEDINGS ASMDA 2011}. Rome, Italy: Edizioni ETS, 2011, s.~720-727. ISBN~978-88-467-3045-9.
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