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Defining attributes for scorecard construction in credit scoring

David Hand and Niall Adams

Journal of Applied Statistics, 2000, vol. 27, issue 5, pages 527-540

Abstract: In many domains, simple forms of classification rules are needed because of requirements such as ease of use. A particularly simple form splits each variable into just a few categories, assigns weights to the categories, sums the weights for a new object to be classified, and produces a classification by comparing the score with a threshold. Such instruments are often called scorecards. We describe a way to find the best partition of each variable using a simulated annealing strategy. We present theoretical and empirical comparisons of two such additive models, one based on weights of evidence and another based on logistic regression.

Date: 2000
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