Lift-Based Quality Indexes for Credit Scoring Models as an
Alternative to Gini and KS

J 2012

Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS

ŘEZÁČ, Martin a Jan KOLÁČEK

Základní údaje

Originální název

Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS

Autoři

ŘEZÁČ, Martin a Jan KOLÁČEK

Vydání

Journal of Statistics: Advances in Theory and Applications, 2012, 0975-1262

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

10103 Statistics and probability

Stát vydavatele

Indie

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14310/12:00060312

Organizační jednotka

Přírodovědecká fakulta

Klíčová slova anglicky

Credit scoring;Quality indexes;Gini index;Lift;Lift Ratio;Integrated Relative Lift

Štítky

AKR, rivok

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 29. 6. 2012 10:39, Mgr. Martin Řezáč, Ph.D.

Anotace

V originále

Assessment of risk associated with the granting of credits is very successfully supported by techniques of credit scoring. To measure the quality, in the sense of the predictive power, of the scoring models, it is possible to use quantitative indexes such as the Gini index (Gini), the K-S statistic (KS), the c-statistic, and lift. They are used for comparing several developed models at the moment of development as well as for monitoring the quality of the model after deployment into real business. The paper deals with the aforementioned quality indexes, their properties and relationships. The main contribution of the paper is the proposal and discussion of indexes and curves based on lift. The curve of ideal lift is defined; lift ratio (LR) is defined as analogous to Gini index. Integrated relative lift (IRL) is defined and discussed. Finally, the presented case study shows a case when LR and IRL are much more appropriate to use than Gini and KS.

Citovat

ŘEZÁČ, Martin a Jan KOLÁČEK. Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS. Journal of Statistics: Advances in Theory and Applications. 2012, roč. 7, č. 1, s. 1-23. ISSN 0975-1262.

@article{986114,
   author = {Řezáč, Martin and Koláček, Jan},
   article_number = {1},
   keywords = {Credit scoring;Quality indexes;Gini index;Lift;Lift Ratio;Integrated Relative Lift},
   language = {eng},
   issn = {0975-1262},
   journal = {Journal of Statistics: Advances in Theory and Applications},
   title = {Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS},
   url = {http://scientificadvances.co.in/index.php?cmd=artical&j=4&su=89},
   volume = {7},
   year = {2012}
}

TY  - JOUR
ID  - 986114
AU  - Řezáč, Martin - Koláček, Jan
PY  - 2012
TI  - Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS
JF  - Journal of Statistics: Advances in Theory and Applications
VL  - 7
IS  - 1
SP  - 1-23
EP  - 1-23
SN  - 09751262
KW  - Credit scoring;Quality indexes;Gini index;Lift;Lift Ratio;Integrated Relative Lift
UR  - http://scientificadvances.co.in/index.php?cmd=artical&j=4&su=89
L2  - http://scientificadvances.co.in/index.php?cmd=artical&j=4&su=89
N2  - Assessment of risk associated with the granting of credits is very successfully supported by techniques of credit scoring. To measure the quality, in the sense of the predictive power, of the scoring models, it is possible to use quantitative indexes such as the Gini index (Gini), the K-S statistic (KS), the c-statistic, and lift. They are used for comparing several developed models at the moment of development as well as for monitoring the quality of the model after deployment into real business. The paper deals with the aforementioned quality indexes, their properties and relationships. The main contribution of the paper is the proposal and discussion of indexes and curves based on lift. The curve of ideal lift is defined; lift ratio (LR) is defined as analogous to Gini index. Integrated relative lift (IRL) is defined and discussed. Finally, the presented case study shows a case when LR and IRL are much more appropriate to use than Gini and KS.
ER  -

ŘEZÁČ, Martin a Jan KOLÁČEK. Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS. \textit{Journal of Statistics: Advances in Theory and Applications}. 2012, roč.~7, č.~1, s.~1-23. ISSN~0975-1262.

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