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Definition of Default and Quality of Scoring Functions

Jiří Witzany

Bulletin of the Czech Econometric Society2011article
ABDC C
Weight
0.26

What the paper says

A retail bank consumer loan dataset is used to develop logistic regression based scoring functions with different definitions of default from a very broad to a narrow or hard. The performance of the scoring functions is compared with respect to the hard definition of default which indicates real losses suffered by the bank. The results confirm the hypothesis that the scoring functions developed on softer definitions of default perform worse than those developed on harder definitions of default. The conclusion is put into contrast with the observation that the Basel II regulation gives an incentive to use a rather soft definition of default in the rating and scoring process.

1 citation

Cite this paper

@article{jiří2011,
  title        = {{Definition of Default and Quality of Scoring Functions}},
  author       = {Jiří Witzany},
  journal      = {Bulletin of the Czech Econometric Society},
  year         = {2011},
}

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Definition of Default and Quality of Scoring Functions

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.