Credit Scoring Models and their Quality

KOLÁČEK, Jan and Martin ŘEZÁČ. Credit Scoring Models and their Quality. In APPLIED STATISTICS 2011 PROGRAM and ABSTRACTS. 2011. ISBN 978-961-92487-7-5.

Basic information

• Original name: Credit Scoring Models and their Quality
• Name in Czech: Modely kredit skóringu a jejich kvalita
• Authors: KOLÁČEK, Jan (203 Czech Republic, guarantor, belonging to the institution) and Martin ŘEZÁČ (203 Czech Republic, belonging to the institution).
• Edition: APPLIED STATISTICS 2011 PROGRAM and ABSTRACTS, 2011.

Other information

• Original language: English
• Type of outcome: Conference abstract
• Field of Study: 10101 Pure mathematics
• Country of publisher: Slovenia
• Confidentiality degree: is not subject to a state or trade secret
• WWW: URL
• RIV identification code: RIV/00216224:14310/11:00055412
• Organization unit: Faculty of Science
• ISBN: 978-961-92487-7-5
• Keywords (in Czech): Kredit skóring; indexy kvality; Giniho index; Lift
• Keywords in English: Credit scoring; Quality indexes; Gini index; Lift
• Tags: Reviewed

Abstract

Lenders, such as banks and credit card companies, use credit scoring to evaluate the potential risk posed by lending money to consumers. Once a scoring model is available, it is natural to measure its quality. To evaluate the effectiveness of credit scoring models, it is possible to use quantitative indexes such as Gini index, K-S statistics, Lift, Information statistics etc. The presentation 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. Also an application of mentioned theory on real data set is demonstrated.

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