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Volume 61, Issue 5


How to Measure the Quality of Credit Scoring Models

Řezáč, František; Řezáč, Martin

Year: 2011   Volume: 61   Issue: 5   Pages: 486-507

Abstract: Credit scoring models are widely used to predict the probability of client default. To measure the quality of such scoring models it is possible to use quantitative indices such as the Gini index, Kolmogorov-Smirnov statistics (KS), Lift, the Mahalanobis distance, and information statistics. This paper reviews and illustrates the use of these indices in practice.

JEL classification: C10, C53, D81, G32

Keywords: credit scoring, quality indices, lift, profit, normally distributed scores


RePEc: http://ideas.repec.org/a/fau/fauart/v61y2011i5p486-507.html

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