Advanced Search
MyIDEAS: Login to save this article or follow this journal

Definition of Default and Quality of Scoring Functions

Contents:

Author Info

  • Jiri Witzany

    ()

Abstract

A retail bank consumer loan dataset is used to develop logistic regression based scoring functions with different definitions of default from a very broad to a narrow or hard. The performance of the scoring functions is compared with respect to the hard definition of default which indicates real losses suffered by the bank. The results confirm the hypothesis that the scoring functions developed on softer definitions of default perform worse than those developed on harder definitions of default. The conclusion is put into contrast with the observation that the Basel II regulation gives an incentive to use a rather soft definition of default in the rating and scoring process.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/178
Download Restriction: no

Bibliographic Info

Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

Volume (Year): 18 (2011)
Issue (Month): 28 ()
Pages:

as in new window
Handle: RePEc:czx:journl:v:18:y:2011:i:28:id:178

Contact details of provider:
Email:
Web page: http://ces.utia.cas.cz
More information through EDIRC

Related research

Keywords: credit risk; regulatory capital; default; scoring;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Martin Rezac & Frantisek Rezac, 2011. "How to Measure the Quality of Credit Scoring Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(5), pages 486-507, November.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:czx:journl:v:18:y:2011:i:28:id:178. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.