Computation of 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%3A00055414" target="_blank" >RIV/00216224:14310/11:00055414 - 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
Computation of Information Value for Credit Scoring Models
Original language description
Empirical estimate using deciles of scores is the classical way how to compute the Information value for credit scoring models. It is easy to implement, but may lead to strongly biased results. Kernel estimate or empirical estimates with supervised interval selection (ESIS) seems to be more appropriate to use. The main contribution of this paper is a proposal of new algorithms for computation the Information value. They are based on concept of ESIS. The properties of all listed Information value estimators are discussed in the simulation study.
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
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers
ISBN
978-80-210-5778-4
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
75-84
Publisher name
Masaryk University
Place of publication
Brno
Event location
Jedovnice
Event date
Jan 1, 2011
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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