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Quality measures of scoring models

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  • Siarka, Paweł

Abstract

One of the basic stages of constructing credit-scoring models is the assessment of their quality understood as the ability to separate reliable and unreliable borrower population. This paper focuses on methods enabling the assessment of discrimination quality, and presents the results of researches on the basis of empirical data. Apart from establishing the measure of discrimination quality, this paper refers to the issue of the assessment of the stability of results obtained by setting a confidence interval for the quality measure of the scoring model.

Suggested Citation

  • Siarka, Paweł, 2012. "Quality measures of scoring models," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 5(4), pages 432-446, September.
    • Handle: RePEc:aza:rmfi00:y:2012:v:5:i:4:p:432-446
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    More about this item

    Keywords

    credit scoring; Basel II; credit risk; discriminant analysis;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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