Determining the Target Variable in Credit Scoring Models

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Determining the Target Variable in Credit Scoring Models

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Determining the Target Variable in Credit Scoring Models

Popis výsledku anglicky

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.

Druh

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

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

The GSTF Journal of Mathematics, Statistics and Operations Research

ISSN

2251-3388

e-ISSN

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Svazek periodika

2

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

IN - Indická republika

Počet stran výsledku

6

Strana od-do

125-130

Kód UT WoS článku

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EID výsledku v databázi Scopus

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