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Title:Assessing the discriminatory power of credit scores PDF Logo
Authors:Kraft, Holger
Kroisandt, Gerald
Müller, Marlene
Issue Date:2002
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,67
Abstract: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.
Subjects:credit rating
credit score
discriminatory power
sample selection
Gini coefficient
accuracy ratio
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10049306
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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