How to Measure the Quality of Credit Scoring Models

Credit scoring models are widely used to predict the probability of client default. To measure the quality of such scoring models it is possible to use quantitative indices such as the Gini index, Kolmogorov-Smirnov statistics (KS), Lift, the Mahalanobis distance, and information statistics. This paper reviews and illustrates the use of these indices in practice.

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Year of publication:	2011
Authors:	Rezac, Martin ; Rezac, Frantisek
Published in:	Czech Journal of Economics and Finance (Finance a uver). - Institut ekonomických studií, ISSN 0015-1920. - Vol. 61.2011, 5, p. 486-507
Publisher:	Institut ekonomických studií
Subject:	credit scoring \| quality indices \| lift \| profit \| normally distributed scores

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Extent:	application/pdf
Type of publication:	Article
Classification:	C10 - Econometric and Statistical Methods: General. General ; C53 - Forecasting and Other Model Applications ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010686522