Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86131
Authors: 
Balzarotti, Verónica
Castelpoggi, Fernando
Year of Publication: 
2008
Series/Report no.: 
Working Paper, Central Bank of Argentina (BCRA) 2008/37
Abstract (Translated): 
The main purpose of this paper is to study the problem created by the lack of information about the credit history of some debtors in the databases used to develop credit scoring models and the use of information about behavior compiled by a credit risk register as a potential solution to the problem. The paper analyzes two problems: (i) the need to provide a credit risk estimation of debtors whose behavior is unknown (because they are deleted from the databases without indication of the reason), and (ii) the assessment of the impact of ignoring these data when evaluating the credit risk of entities’ portfolios. The fundamental strategy will be to allow the use of debtors’ credit history in other entities, recorded in the credit risk register.
Subjects: 
credit scoring
credit registers
credit risk
imputation
information sharing
missing data
JEL: 
C35
D81
G21
G28
Document Type: 
Working Paper

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