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Probleme des Qualitätsvergleichs von Kreditausfallprognosen

Walter Krämer () and Michael Bücker

AStA Wirtschafts- und Sozialstatistisches Archiv, 2011, vol. 5, issue 1, 39-58

Abstract: The statistical quality of credit default forecasts can be measured and compared in different ways. This article surveys the various approaches that have been suggested in the literature and discusses their respective properties. For the particular case of credit scoring in the retail business, it is shown that some quality criteria are more useful than others. In particular, various measures that are popular in, e.g. meteorology, such as the Brier score have to be applied with caution. Copyright Springer 2011

Keywords: Kreditausfälle; Wahrscheinlichkeitsprognosen; Scorekarten; C53; G24; Credit default; Probability forecasts; Scorecards (search for similar items in EconPapers)
Date: 2011
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Handle: RePEc:spr:astaws:v:5:y:2011:i:1:p:39-58