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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

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

  • Czech description

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

Result continuities

  • Project

  • 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

  • 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

  • EID of the result in the Scopus database