Credit Scoring Modelling: A Micro–Macro Approach
AbstractIn order to reduce its capital requirement, banks use different credit risk models that are able to detect de difference between defaulter and a non-defaulter customer. In this paper I aim to make a comparison between these models and more to see which ones improve most when a macroeconomic variables is also introduce. What I would like to evidence in this paper is that more important than a particular model is the variables selection and the choice of a loss function that have to be minimized in order to treat the tradeoff between the profit considerations and best classification of customers.
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Bibliographic InfoPaper provided by Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB in its series Advances in Economic and Financial Research - DOFIN Working Paper Series with number 45.
Date of creation: Oct 2010
Date of revision:
credit risk models;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
- NEP-BAN-2010-10-23 (Banking)
- NEP-FMK-2010-10-23 (Financial Markets)
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