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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

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

  • e-ISSN

  • 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