Performance of credit risk prediction models via proper loss functions
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References listed on IDEAS
- 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.
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KeywordsModel Comparison; AUC; H index; Loss Function; Proper Scoring Rules; Credit Risk;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-08 (All new papers)
- NEP-BAN-2014-02-08 (Banking)
- NEP-ECM-2014-02-08 (Econometrics)
- NEP-FOR-2014-02-08 (Forecasting)
- NEP-RMG-2014-02-08 (Risk Management)
- NEP-UPT-2014-02-08 (Utility Models & Prospect Theory)
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