Informace o publikaci
A Conservative Approach to Assessment of Discriminatory Models
| Autoři | |
|---|---|
| Rok publikování | 2011 |
| Druh | Článek ve sborníku |
| Konference | Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Obecná matematika |
| Klíčová slova | Credit scoring; Quality indexes; Gini index; Lift |
| Popis | 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 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. Also an application of mentioned theory on simulated data set is demonstrated. |
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