A Conservative Approach to Assessment of Discriminatory Models
| Authors | |
|---|---|
| Year of publication | 2011 |
| Type | Article in Proceedings |
| Conference | Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers |
| MU Faculty or unit | |
| Citation | |
| Field | General mathematics |
| Keywords | Credit scoring; Quality indexes; Gini index; Lift |
| Description | 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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