Estimating Information Value for Credit Scoring Models

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F11%3A00052735" target="_blank" >RIV/00216224:14310/11:00052735 - 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

Estimating Information Value for Credit Scoring Models

Original language description

The paper deals with the Information value, which enjoy high popularity in the industry. Commonly it is computed by discretisation of data into intervals using deciles. One constraint is required to be met in this case. Number of cases have to be nonzerofor all intervals. If this constraint is not fulfilled there are some issues to solve for preserving reasonable results. To avoid these computational issues, I proposed an alternative algorithm for estimating the Information value, named the empirical estimate with supervised interval selection. This advanced estimate is based on requirement to have at least k, where k is a positive integer, observations of scores of both good and bad clients in each considered interval. Simulation study with normallydistributed scores shows high dependency on choise of the parameter k. If we choose too small value, we get overestimated value of the Information value, and vice versa. The quality of the estimate was assessed using MSE.

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

2011

Confidentiality

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

Name of the periodical

Aplimat - Journal of applied mathematics

ISSN

1337-6365

e-ISSN

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Volume of the periodical

4

Issue of the periodical within the volume

1

Country of publishing house

SK - SLOVAKIA

Number of pages

10

Pages from-to

1619-1628

UT code for WoS article

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EID of the result in the Scopus database

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