个人信用风险评分模型的评价指标研究

A Study of Evaluation Index of Personal Credit Models

个人信用风险评分模型的理论差别较大,故难从理论上对模型的优劣进行评价,因此,实际工作中一般采用实证比较的方式比较模型的好坏。本文介绍了目前在业界常用的几种模型评价指标,分析了它们的优缺点和相互之间的关系,并在考虑误判代价的情况下提出了新的模型评价指标,分析了它们的统计性质,丰富了信用风险评分模型的评价体系。

Big theoretical difference makes personal credit models hard to compare theoretically. So the empirical comparison is the first choice. This paper introduces several evaluation indexes and analyzes their advantages,disadvantages and relationship between each other. Finally, this paper puts forward new evaluation indexes based on the miscalculation cost and analyses statistical properties. The new evaluation indexes enriches credit risk scoring model evaluation system.