Beta distributed credit score - Estimation of its J-divergence

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Beta distributed credit score - Estimation of its J-divergence

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Beta distributed credit score - Estimation of its J-divergence

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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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 statě ve sborníku

The 7th International Days of Statistics and Economics: Conference proceedings

ISBN

9788086175874

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

1182-1191

Název nakladatele

Melandrium

Místo vydání

Praha

Místo konání akce

Praha

Datum konání akce

19. 9. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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