Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14310%2F12%3A00060312" target="_blank" >RIV/00216224:14310/12:00060312 - isvavai.cz</a>

Výsledek na webu

<a href="http://scientificadvances.co.in/index.php?cmd=artical&j=4&su=89" target="_blank" >http://scientificadvances.co.in/index.php?cmd=artical&j=4&su=89</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS

Popis výsledku v původním jazyce

Assessment of risk associated with the granting of credits is very successfully supported by techniques of credit scoring. To measure the quality, in the sense of the predictive power, of the scoring models, it is possible to use quantitative indexes such as the Gini index (Gini), the K-S statistic (KS), the c-statistic, and lift. They are used for comparing several developed models at the moment of development as well as for monitoring the quality of the model after deployment into real business. The paper deals with the aforementioned quality indexes, their properties and relationships. The main contribution of the paper is the proposal and discussion of indexes and curves based on lift. The curve of ideal lift is defined; lift ratio (LR) is definedas analogous to Gini index. Integrated relative lift (IRL) is defined and discussed. Finally, the presented case study shows a case when LR and IRL are much more appropriate to use than Gini and KS.

Název v anglickém jazyce

Lift-Based Quality Indexes for Credit Scoring Models as an Alternative to Gini and KS

Popis výsledku anglicky

Assessment of risk associated with the granting of credits is very successfully supported by techniques of credit scoring. To measure the quality, in the sense of the predictive power, of the scoring models, it is possible to use quantitative indexes such as the Gini index (Gini), the K-S statistic (KS), the c-statistic, and lift. They are used for comparing several developed models at the moment of development as well as for monitoring the quality of the model after deployment into real business. The paper deals with the aforementioned quality indexes, their properties and relationships. The main contribution of the paper is the proposal and discussion of indexes and curves based on lift. The curve of ideal lift is defined; lift ratio (LR) is definedas analogous to Gini index. Integrated relative lift (IRL) is defined and discussed. Finally, the presented case study shows a case when LR and IRL are much more appropriate to use than Gini and KS.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název periodika

Journal of Statistics: Advances in Theory and Applications

ISSN

0975-1262

e-ISSN

—

Svazek periodika

7

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

IN - Indická republika

Počet stran výsledku

23

Strana od-do

1-23

Kód UT WoS článku

—

EID výsledku v databázi Scopus

—