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Credit Scoring Models: Lack of Information and the Use of Data from a Credit Risk Register

Author

Listed:
  • Verónica Balzarotti

    (Central Bank of Argentina)

  • Fernando Castelpoggi

    (Central Bank of Argentina)

Abstract

The main purpose of this paper is to study the problem created by the lack of information about the credit history of some debtors in the databases used to develop credit scoring models and the use of information about behavior compiled by a credit risk register as a potential solution to the problem. The paper analyzes two problems: (i) the need to provide a credit risk estimation of debtors whose behavior is unknown (because they are deleted from the databases without indication of the reason), and (ii) the assessment of the impact of ignoring these data when evaluating the credit risk of entities’ portfolios. The fundamental strategy will be to allow the use of debtors’ credit history in other entities, recorded in the credit risk register.

Suggested Citation

  • Verónica Balzarotti & Fernando Castelpoggi, 2008. "Credit Scoring Models: Lack of Information and the Use of Data from a Credit Risk Register," BCRA Working Paper Series 200837, Central Bank of Argentina, Economic Research Department.
    • Handle: RePEc:bcr:wpaper:200837
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    File URL: http://www.bcra.gov.ar/pdfs/investigaciones/WP%202008%2037.pdf
    File Function: Spanish version (versión en Español)
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    More about this item

    Keywords

    credit scoring; credit registers; credit risk; imputation; information sharing; missing data;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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