On Aspects of Quality Indexes for Scoring Models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F10%3A00046554" target="_blank" >RIV/00216224:14310/10:00046554 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

On Aspects of Quality Indexes for Scoring Models

Popis výsledku v původním jazyce

Credit scoring models are widely used to predict a probability of an event like client's default. To measure the quality of the scoring models it is possible to use quantitative indexes such as Gini index, K-S statistics, C-statistics and Lift. They areused for comparison of several developed models at the moment of development as well as for monitoring of quality of those models after deployment into real business. The paper deals with mentioned quality indexes, their properties and relationships. Themain contribution of the paper is proposition and discussion of indexes and curves based on Lift. Curve of ideal Lift is defined, Lift ratio is proposed as analogy to Gini index. Integrated Relative Lift is defined and discussed.

Název v anglickém jazyce

On Aspects of Quality Indexes for Scoring Models

Popis výsledku anglicky

Credit scoring models are widely used to predict a probability of an event like client's default. To measure the quality of the scoring models it is possible to use quantitative indexes such as Gini index, K-S statistics, C-statistics and Lift. They areused for comparison of several developed models at the moment of development as well as for monitoring of quality of those models after deployment into real business. The paper deals with mentioned quality indexes, their properties and relationships. Themain contribution of the paper is proposition and discussion of indexes and curves based on Lift. Curve of ideal Lift is defined, Lift ratio is proposed as analogy to Gini index. Integrated Relative Lift is defined and discussed.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/LC06024" target="_blank" >LC06024: Centrum Jaroslava Hájka pro teoretickou a aplikovanou statistiku</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

19th International Conference on Computational Statistics, Paris France, August 22-27, 2010 Keynote, Invited and Contributed Papers

ISBN

978-3-7908-2603-6

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

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Název nakladatele

SpringerLink

Místo vydání

Paris

Místo konání akce

Paris

Datum konání akce

1. 1. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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