Information Value estimator for Credit Scoring Models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F12%3A00061861" target="_blank" >RIV/00216224:14310/12:00061861 - 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
Information Value estimator for Credit Scoring Models
Original language description
Information value is widely used to assess discriminatory power of credit scoring models, i.e. models that try to predict a probability of client?s default. Moreover it is very often used to assess the discriminatory power of variables that enter into these models. This means that the Information value is used as a filter for variable selection. However, empirical estimate using deciles of scores, which is the common way how to compute it, may lead to strongly biased results. The main aim of this paperis to give an alternative estimator of the Information value, which leads to lowered bias and MSE.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
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
Article name in the collection
Proceedings of the IADIS European Conference Data Mining 2012
ISBN
9789728939694
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
188-192
Publisher name
IADIS Press
Place of publication
Lisbon
Event location
Lisbon, Portugal
Event date
Jan 1, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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