Quality Indexes of Predictive Models in Risk and Portfolio Management

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F10%3A00043193" target="_blank" >RIV/00216224:14310/10:00043193 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Quality Indexes of Predictive Models in Risk and Portfolio Management

Original language description

For a measurement of partial processes of a financial institution, especially their components like scoring models or other predictive models, it is possible to use quantitative indexes such as Gini index, K-S statistics, Lift and Information statistics.They can be used for comparison of several developed models at the moment of development. It is possible to use them for monitoring of quality of models after the deployment into real business as well. The outcome is then an effective tool to attract new creditworthy customers, and at the same time, control losses. This paper deals with definition of good/bad client, which is crucial for further computations. The main part is devoted to quality indexes based on distribution functions and on density functions. It brings some interesting results connected to Lift in general and for normally distributed data. An application on real data is included too.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2010

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

The Journal of Financial Decision Making

ISSN

1790-4870

e-ISSN

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Volume of the periodical

6

Issue of the periodical within the volume

1

Country of publishing house

GR - GREECE

Number of pages

11

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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