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Assessing the discriminatory power of credit scores


  • Kraft, Holger
  • Kroisandt, Gerald
  • Müller, Marlene


We discuss how to assess the performance for credit scores under the assumption that for credit data only a part of the defaults and nondefaults is observed. The paper introduces a criterion that is based on the difference of the score distributions under default and nondefault. We show how to estimate bounds for this criterion, the Gini coefficient and the accuracy ratio.

Suggested Citation

  • Kraft, Holger & Kroisandt, Gerald & Müller, Marlene, 2002. "Assessing the discriminatory power of credit scores," SFB 373 Discussion Papers 2002,67, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  • Handle: RePEc:zbw:sfb373:200267

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    credit rating; credit score; discriminatory power; sample selection; Gini coefficient; accuracy ratio;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages


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