How to Measure the Quality of Credit Scoring Models

Martin Rezac () and Frantisek Rezac ()
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Martin Rezac: Masaryk University, Brno, Czech Republic, http://czs.muni.cz/en/in/home
Frantisek Rezac: Masaryk University, Brno, Czech Republic, http://czs.muni.cz/en/in/home

Czech Journal of Economics and Finance (Finance a uver), 2011, vol. 61, issue 5, 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.

Keywords: credit scoring; quality indices; lift; profit; normally distributed scores (search for similar items in EconPapers)
JEL-codes: C10 C53 D81 G32 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:61:y:2011:i:5:p:486-507

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