Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F12%3A00060312" target="_blank" >RIV/00216224:14310/12:00060312 - isvavai.cz</a>
Result on the web
<a href="http://scientificadvances.co.in/index.php?cmd=artical&j=4&su=89" target="_blank" >http://scientificadvances.co.in/index.php?cmd=artical&j=4&su=89</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS
Original language description
Assessment of risk associated with the granting of credits is very successfully supported by techniques of credit scoring. To measure the quality, in the sense of the predictive power, of the scoring models, it is possible to use quantitative indexes such as the Gini index (Gini), the K-S statistic (KS), the c-statistic, and lift. They are used for comparing several developed models at the moment of development as well as for monitoring the quality of the model after deployment into real business. The paper deals with the aforementioned quality indexes, their properties and relationships. The main contribution of the paper is the proposal and discussion of indexes and curves based on lift. The curve of ideal lift is defined; lift ratio (LR) is definedas analogous to Gini index. Integrated relative lift (IRL) is defined and discussed. Finally, the presented case study shows a case when LR and IRL are much more appropriate to use than Gini and KS.
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
2012
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 Statistics: Advances in Theory and Applications
ISSN
0975-1262
e-ISSN
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Volume of the periodical
7
Issue of the periodical within the volume
1
Country of publishing house
IN - INDIA
Number of pages
23
Pages from-to
1-23
UT code for WoS article
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EID of the result in the Scopus database
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