Measuring Quality of Scoring Models Using Information Value
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F11%3A00052733" target="_blank" >RIV/00216224:14310/11:00052733 - 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
Measuring Quality of Scoring Models Using Information Value
Original language description
Many statistical tools are avaiable for measuring quality, within the meaning of the predictive power, of credit scoring models. Because it is impossible to use a scoring model effectively without knowing how good it is, quality indexes like Gini, Kolmogorov-Smirnov statisic and Information value are used to assess quality of given credit scoring model. The paper describes a selection of indexes that enjoy high popularity in the industry. However, it deals primarily with the Information value. Commonlyit is computed by discretisation of data into bins using deciles. One constraint is required to be met in this case. Number of cases have to be nonzero for all bins. If this constraint is not fulfilled there are some practical procedures for preserving finite results. As an alternative method to the empirical estimates one can use the kernel smoothing theory. The main contribution of this paper is a proposition of the empirical estimate with supervised interval selection.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Communication and Computer
ISSN
1548-7709
e-ISSN
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Volume of the periodical
8
Issue of the periodical within the volume
3
Country of publishing house
US - UNITED STATES
Number of pages
6
Pages from-to
234-239
UT code for WoS article
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EID of the result in the Scopus database
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