Recalibrating scorecards

L C Thomas (), J Banasik and J N Crook
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L C Thomas: University of Southampton
J Banasik: University of Edinburgh
J N Crook: University of Edinburgh

Journal of the Operational Research Society, 2001, vol. 52, issue 9, 981-988

Abstract: Abstract Many credit scoring systems depend on scorecards which order applicants by credit risk. However the scorecards may also have other properties with certain scores reflecting certain good:bad odds or differences in scores having the same property throughout the score range. Other properties like positivity of attribute points may be required for palatability or internal marketing reasons. The paper outlines the results of a small survey of what properties scorecard builders require of their scorecards. It then discusses how these properties can be obtained and describes a linear programming formulation which recalibrates scorecards so as to produce the best approximate scorecard with the properties required.

Keywords: credit scoring; linear programming; credit scorecards (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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DOI: 10.1057/palgrave.jors.2601192

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