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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William Davidson Institute Working Papers Series
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