Beta distributed credit score - Estimation of its J-divergence

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F13%3A00069254" target="_blank" >RIV/00216224:14310/13:00069254 - 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
Beta distributed credit score - Estimation of its J-divergence
Original language description
It is known, that Beta distribution could provide a reasonable approximation of distribution of a credit scores, which are the outcome of credit scoring models, i.e. models which are used to determine the probability of default (i.e. when the client fails to meet his or her credit obligations). Credit scoring models are used in practice in the majority of decisions related to the granting of credits, and are thus inherently part of the majority of processes (approval, enforcement, commercial, etc.) in the financial sector. Besides Gini coefficient or K-S statistic, J-divergence (also called Information value) is widely used to assess discriminatory power of credit scoring models. However, empirical estimator using deciles of scores, which is the commonway how to compute the J-divergence, may lead to strongly biased results.
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 7th International Days of Statistics and Economics: Conference proceedings
ISBN
9788086175874
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
1182-1191
Publisher name
Melandrium
Place of publication
Praha
Event location
Praha
Event date
Sep 19, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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