The statistical quality of credit default forecasts can be measured and compared in different ways. This article surveys the various approaches that have been suggested in the literature and discusses their respective properties. For the particular case of credit scoring in the retail business,...

Using an empirical likelihood approach, we show that generalized linear models can still be consistently estimated even if dependent variables are not missing at random, and derive a Hausman test by comparing this estimator to the standard one.

We generalize an empirical likelihood approach to deal with missing data to a model of consumer credit scoring. An application to recent consumer credit data shows that our procedure yields parameter estimates which are significantly different (both statistically and economically) from the case...