Adjusted Empirical Estimate of Information Value for Credit Scoring Models

ŘEZÁČ, Martin and Jan KOLÁČEK. Adjusted Empirical Estimate of Information Value for Credit Scoring Models. Online. In PROCEEDINGS ASMDA 2011. Rome: Edizioni ETS, 2011, p. 1162-1169. ISBN 978-88-467-3045-9.

Basic information

Original name

Adjusted Empirical Estimate of Information Value for Credit Scoring Models

Name in Czech

Korigovaný empirický odhad informační hodnoty pro credit scoringové modely

Authors

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

Edition

Rome, PROCEEDINGS ASMDA 2011, p. 1162-1169, 8 pp. 2011

Publisher

Edizioni ETS

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Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

10103 Statistics and probability

Country of publisher

Italy

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

electronic version available online

RIV identification code

RIV/00216224:14310/11:00052732

Organization unit

Faculty of Science

ISBN

978-88-467-3045-9

Keywords (in Czech)

Credit scoring; Indexy kvality; Informační hodnota; ESIS

Keywords in English

Credit scoring; Quality indexes; Information value; ESIS

Tags

AKR, rivok, ZR

Tags

International impact, Reviewed

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Abstract

V originále

To measure the quality of scoring models it is possible to use quantitative indexes such as Gini index, K-S and Information value. The paper deals with the Information value, mainly with issues connected to its computation. The classical way of computation, i.e. empirical estimate using deciles of scores, is easy to implement, but may lead to strongly biased results. Kernel estimate or empirical estimates with supervised interval selection (ESIS) seems to be more appropriate to use. The main contribution of this paper is a proposal of an adjusted procedure for estimation of the Information value. It is based on ideas of ESIS with adjustment for choice of required number of observations in constructed intervals. The properties of all listed Information value estimators are discussed in the simulation study.

In Czech

Hlavním přínosem článku je návrh korigované procedury pro odhad informační hodnoty založené na empirickém odhadu s řízeným výběrem intervalů. Kerekce se týká volby počtu pozorování při konstrukci intervalů.

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Links

LC06024, research and development project

Name: Centrum Jaroslava Hájka pro teoretickou a aplikovanou statistiku Investor: Ministry of Education, Youth and Sports of the CR, Jaroslav Hájek Center for Theoretical and Applied Statistics