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.

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Year of publication:	2002
Authors:	Kraft, Holger ; Kroisandt, Gerald ; Müller, Marlene
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	credit rating \| credit score \| discriminatory power \| sample selection \| Gini coefficient \| accuracy ratio

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Series:	SFB 373 Discussion Paper ; 2002,67
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	727044613 [GVK] hdl:10419/65361 [Handle] RePEc:zbw:sfb373:200267 [RePEc]
Classification:	G21 - Banks; Other Depository Institutions; Mortgages
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310583