On Aspects of Quality Indexes for Scoring Models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F10%3A00046554" target="_blank" >RIV/00216224:14310/10:00046554 - 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
On Aspects of Quality Indexes for Scoring Models
Original language description
Credit scoring models are widely used to predict a probability of an event like client's default. To measure the quality of the scoring models it is possible to use quantitative indexes such as Gini index, K-S statistics, C-statistics and Lift. They areused for comparison of several developed models at the moment of development as well as for monitoring of quality of those models after deployment into real business. The paper deals with mentioned quality indexes, their properties and relationships. Themain contribution of the paper is proposition and discussion of indexes and curves based on Lift. Curve of ideal Lift is defined, Lift ratio is proposed as analogy to Gini index. Integrated Relative Lift is defined and discussed.
Czech name
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Czech description
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Project
<a href="/en/project/LC06024" target="_blank" >LC06024: Jaroslav Hájek Center for Theoretical and Applied Statistics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
19th International Conference on Computational Statistics, Paris France, August 22-27, 2010 Keynote, Invited and Contributed Papers
ISBN
978-3-7908-2603-6
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
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Publisher name
SpringerLink
Place of publication
Paris
Event location
Paris
Event date
Jan 1, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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