Unstable regions in the scorecards’ input space

Imre Szücs ()

A chapter in Symposium for Young Researchers 2007: Proceedings, 2007, pp 181-186 from Óbuda University, Keleti Faculty of Business and Management

Abstract: Data mining algorithms become more and more popular to satisfy the Basle II requirements, like to predict the probability of default. Not all of these models can be understood easily from economical point of view, which involve the importance of stress tests. In this paper we try to map a retail credit scorecard’s input space to find regions where predictions can lead to significant differing results. Different definitions for similarity and prediction difference are examined to reach an economically and statistically simultaneously interpretable abstraction.

Date: 2007
ISBN: 9789637154645
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