Arbeitspapier
Assessing the discriminatory power of credit scores
We discuss how to assess the performance for credit scores under the assumption that for credit data only a part of the defaults and nondefaults is observed. The paper introduces a criterion that is based on the difference of the score distributions under default and nondefault. We show how to estimate bounds for this criterion, the Gini coefficient and the accuracy ratio.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2002,67
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
credit rating
credit score
discriminatory power
sample selection
Gini coefficient
accuracy ratio
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kraft, Holger
Kroisandt, Gerald
Müller, Marlene
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2002
- Handle
- URN
-
urn:nbn:de:kobv:11-10049306
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kraft, Holger
- Kroisandt, Gerald
- Müller, Marlene
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2002
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