Determining the Target Variable in 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%2F13%3A00068765" target="_blank" >RIV/00216224:14310/13:00068765 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.5176/2251-3388_" target="_blank" >http://dx.doi.org/10.5176/2251-3388_</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5176/2251-3388_" target="_blank" >10.5176/2251-3388_</a>
Alternative languages
Result language
angličtina
Original language name
Determining the Target Variable in Credit Scoring Models
Original language description
Determination the target variable is the crucial point in the whole development process of credit scoring models, which are an essential part of risk management. Usually some Good/Bad definition is applied. In this paper we study the effect of use of indeterminate value of target variable. We explain the basic principles of logistic regression modelling and definition of the target variable. Next, the focus is given to introduction of some of the widely used statistics for model assessment. The main part of the paper is devoted to development and assessment of several credit scoring models on real credit data, which are built up and assessed according various definitions of target variable. We show that there is a valid reason for some target definitions to include the indeterminate value into the modelling process, as it provided us with convincing results.
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
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
The GSTF Journal of Mathematics, Statistics and Operations Research
ISSN
2251-3388
e-ISSN
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Volume of the periodical
2
Issue of the periodical within the volume
1
Country of publishing house
IN - INDIA
Number of pages
6
Pages from-to
125-130
UT code for WoS article
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EID of the result in the Scopus database
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