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Default Predictors in Credit Scoring - Evidence from France’s Retail Banking Institution

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  • Ha Thu Nguyen

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

The aim of this paper is to present the set-up of a behavioral credit-scoring model and to estimate such a model using the auto loan data set of one of the largest multinational financial institutions based in France. We rely on a logistic regression approach, which is commonly used in credit scoring, to construct a behavioral scorecard. A detailed description of the model building process is provided, as are discussions about specific modeling issues. The paper then uses a number of quantitative criteria to identify the model best suited to modeling. Finally, it is demonstrated that such model possesses the desirable characteristics of a scorecard.

Suggested Citation

  • Ha Thu Nguyen, 2014. "Default Predictors in Credit Scoring - Evidence from France’s Retail Banking Institution," Working Papers hal-04141336, HAL.
    • Handle: RePEc:hal:wpaper:hal-04141336
    Note: View the original document on HAL open archive server: https://hal.science/hal-04141336
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    References listed on IDEAS

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