Quality Measures for Predictive Scoring Models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F11%3A00052528" target="_blank" >RIV/00216224:14310/11:00052528 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Quality Measures for Predictive 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 scoring models it is possible to use quantitative indexes such as Gini index, K-S statistics and Lift. They are used 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. Finally, a new approach to measure power of scoring models is discussed and a new quality index is proposed. A simulation study compares it with other quality indexes.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
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)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
PROCEEDINGS ASMDA 2011
ISBN
978-88-467-3045-9
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
720-727
Publisher name
Edizioni ETS
Place of publication
Rome, Italy
Event location
Rome, Italy
Event date
Jan 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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