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Measuring Quality of Scoring Models Using Information Value 被引量:1

Measuring Quality of Scoring Models Using Information Value
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作者 Martin Rezac
出处 《通讯和计算机(中英文版)》 2011年第3期234-239,共6页 Journal of Communication and Computer
关键词 信用评分 信息价值 测量质量 模型 柯尔莫哥洛夫 统计工具 预测能力 质量指标 Credit scoring, quality indexes, information value, empirical estimate, kernel smoothing.
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参考文献12

  • 1D.J. Hand, W.E. Henley, Statistical Classification methods in consumer credit scoring: a review, Journal of the Royal Stat. Society, Series A 160 (1997) 523-541.
  • 2L.C. Thomas, A survey of credit and behavioural scoring: Forecasting financial risk of lending to consumers, Int. Journal of Forecasting 16 (2000) 149-172.
  • 3J.N. Crook, D.B. Edelman, L.C. Thomas, Recent developments in consumer credit risk assessment, Eur. J. of Operational Research 183 (2007) 1447-1465.
  • 4R. Anderson, The Credit Scoring Toolkit: Theory and Practice for Retail Credit Risk Management and Decision Automation, Oxford University Press, Oxford, 2007.
  • 5N. Siddiqi, Credit Risk Scorecards: Developing and Impl. Intelligent Credit Scoring, Wiley, New Jersey, 2006.
  • 6L.C. Thomas, D.B. Edelman, J.N. Crook, Credit Scoring and Its Applications, SIAM Monographs on Mathematical Modeling and Comp, 2002.
  • 7L.C. Thomas, Consumer Credit Models: Pricing, Profit, and Portfolio, Oxford University Press, Oxford, 2009.
  • 8K. Xu, How has the literature on Gini's index evolved in past 80 years? Available online at: http://economics.dal.ca/RePEc/dal/wparch/howgini.pdf.
  • 9A.D. Wilkie, Measures for comparing scoring systems, in: Thomas, L.C., Edelman, D.B., Crook, J.N. (Eds.), Readings in Credit Scoring, OUP, Oxford, 2004, pp. 51-62.
  • 10J. Kolacek, M. Rezac, Assessment of Scoring Models Using Information Value, in: Compstat' 2010 Proceedings, Paris, 2010, pp. 1191-1198.

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