Parametric estimates of J-divergence for credit scoring models

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F13%3A00069257" target="_blank" >RIV/00216224:14310/13:00069257 - 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

Parametric estimates of J-divergence for credit scoring models

Original language description

J-divergence is widely used to describe the difference between two probability distributions. It is also called the Information value for the purpose of scoring models, e.g., credit scoring models used to predict a probability of clients default. The aimof the paper is to show formulas for frequently occurred situations when scores are normally, beta and gamma distributed. A simulation study showing performance of parametric estimates and an empirical estimate of J-divergence is included.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Far East Journal of Mathematical Sciences

ISSN

0972-0871

e-ISSN

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Volume of the periodical

79

Issue of the periodical within the volume

2

Country of publishing house

IN - INDIA

Number of pages

21

Pages from-to

219-239

UT code for WoS article

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EID of the result in the Scopus database

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