Publication details

A Conservative Approach to Assessment of Discriminatory Models



Year of publication 2011
Type Article in Proceedings
Conference Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers
MU Faculty or unit

Faculty of Science

Field General mathematics
Keywords Credit scoring; Quality indexes; Gini index; Lift
Description Lenders, such as banks and credit card companies, use credit scoring to evaluate the potential risk posed by lending money to consumers. Once a scoring model is available, it is natural to measure its quality. To evaluate the effectiveness of credit scoring models, it is possible to use quantitative indexes such as Gini index, K-S statistics, Lift, Information statistics etc. The paper deals with mentioned quality indexes, their properties and relationships. Finally, a new approach to measure power of scoring models is discussed and a new quality index is proposed. Also an application of mentioned theory on simulated data set is demonstrated.
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