distributions under default and nondefault. We show how to estimate bounds for this criterion, the Gini coefficient and the accuracy …

. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …

Credit scoring methods aim to assess the default risk of a potential borrower. This involves typically the calculation … of a credit score and the estimation of the probability of default. One of the standard approaches is logistic … discriminant analysis, also referred to as logit model. This model maps explanatory variables for the default risk to a credit …