Advanced empirical estimate of information value for credit scoring models

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Volumn 59, Issue 2, 2011, Pages 267-274

  Rezac M ^a  

^a MASARYK UNIVERSITY   (Czech Republic)

Author keywords

Credit scoring; Empirical estimate; Information value; Kernel smoothing; Quality indexes

Indexed keywords

EID: 79953141615     PISSN: 12118516     EISSN: None     Source Type: Journal    
DOI: 10.11118/actaun201159020267     Document Type: Article

References (10)

1. ANDERSON, R., 2007: The Credit Scoring Toolkit: Theory and Practice for Retail Credit Risk Management and Decision Automation. Oxford: Oxford University Press, 731 s. ISBN 978-0-19-922640-5.
2. CROOK, J. N., EDELMAN, D. B., THOMAS, L. C., 2007: Recent developments in consumer credit risk assessment. European Journal of Operational Research, 183 (3), 1447-1465.
3. HAND, D. J. and HENLEY, W E., 1997: Statistical Classification Methods in Consumer Credit Scoring: a review. Journal of the Royal Statistical Society, Series A. 160 (3), 523-541.
4. KOLÁČEK, J. and ŘEZÁČ, M., 2010: Assessment of Scoring Models Using Information Value. In: Compstat' 2010 proceedings. Paris, 1191-1198. ISBN 978-3-7908-2603-6.
5. SIDDIQI, N., 2006: Credit Risk Scorecards: developing and implementing intelligent credit scoring. New Jersey: Wiley, 196 p. ISBN 978-0-471-75451-0.
6. TERRELL, G. R., 1990: The Maximal Smoothing Principle in Density Estimation. Journal of the American Statistical Association, 85, 470-477.
7. THOMAS, L. C., 2009: Consumer Credit Models: Pricing, Profit, and Portfolio. Oxford: Oxford University Press, 385 p. ISBN 978-0-19-923213-0.
8. THOMAS, L. C., EDELMAN, D. B., CROOK, J. N., 2002: Credit Scoring and Its Applications. Philadelphia: SIAM Monographs on Mathematical Modeling and Computation, 248 p. ISBN 978-0-898714-83-8.
9. WAND, M. P. and JONES, M. C., 1995: Kernel smoothing. London: Chapman and Hall, 212 s. ISBN 978-0-41255270-0.
10. WILKIE, A. D., 2004: Measures for comparing scoring systems. In: THOMAS, L. C., EDELMAN, D. B., CROOK, J. N. (Eds.), Readings in Credit Scoring. Oxford: Oxford University Press, p. 51-62.