How to Measure the Quality of Credit Scoring Models
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References listed on IDEAS
- 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.
- Engelmann, Bernd & Hayden, Evelyn & Tasche, Dirk, 2003. "Measuring the Discriminative Power of Rating Systems," Discussion Paper Series 2: Banking and Financial Studies 2003,01, Deutsche Bundesbank.
- Evžen Kocenda & Martin Vojtek, 2011.
"Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data,"
Emerging Markets Finance and Trade,
Taylor & Francis Journals, vol. 47(6), pages 80-98, November.
- EvÅ¾en Kocenda & Martin Vojtek, 2009. "Default Predictors and Credit Scoring Models for Retail Banking," CESifo Working Paper Series 2862, CESifo Group Munich.
- Evzen Kocenda & Martin Vojtek, 2011. "Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data," William Davidson Institute Working Papers Series wp1015, William Davidson Institute at the University of Michigan.
- Jiri Witzany, 2011. "Definition of Default and Quality of Scoring Functions," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).
- D. J. Hand & W. E. Henley, 1997. "Statistical Classification Methods in Consumer Credit Scoring: a Review," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 523-541.
- Roger Newson, 2006. "Confidence intervals for rank statistics: Somers' D and extensions," Stata Journal, StataCorp LP, vol. 6(3), pages 309-334, September.
- Thomas, Lyn C., 2000. "A survey of credit and behavioural scoring: forecasting financial risk of lending to consumers," International Journal of Forecasting, Elsevier, vol. 16(2), pages 149-172.
- Thomas, Lyn C., 2009. "Consumer Credit Models: Pricing, Profit and Portfolios," OUP Catalogue, Oxford University Press, number 9780199232130.
- Crook, Jonathan N. & Edelman, David B. & Thomas, Lyn C., 2007. "Recent developments in consumer credit risk assessment," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1447-1465, December.
- Martin Vojtek & Evžen Koèenda, 2006. "Credit-Scoring Methods (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(3-4), pages 152-167, March.
More about this item
Keywordscredit scoring; quality indices; lift; profit; normally distributed scores;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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