How to Measure the Quality of Credit Scoring Models
Credit scoring models are widely used to predict the probability of client default. To measure the quality of such scoring models it is possible to use quantitative indices such as the Gini index, Kolmogorov-Smirnov statistics (KS), Lift, the Mahalanobis distance, and information statistics. This paper reviews and illustrates the use of these indices in practice.
Volume (Year): 61 (2011)
Issue (Month): 5 (November)
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- Anderson, Raymond, 2007. "The Credit Scoring Toolkit: Theory and Practice for Retail Credit Risk Management and Decision Automation," OUP Catalogue, Oxford University Press, number 9780199226405.
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CESifo Working Paper Series
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- Roger Newson, 2006. "Confidence intervals for rank statistics: Somers' D and extensions," Stata Journal, StataCorp LP, vol. 6(3), pages 309-334, September.
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