Default Predictors in Credit Scoring - Evidence from France’s Retail Banking Institution

Ha Thu Nguyen

No 2014-26, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: The aim of this paper is to present the set-up of a behavioral credit-scoring model and to estimate such a model using the auto loan data set of one of the largest multinational financial institutions based in France. We rely on a logistic regression approach, which is commonly used in credit scoring, to construct a behavioral scorecard. A detailed description of the model building process is provided, as are discussions about specific modeling issues. The paper then uses a number of quantitative criteria to identify the model best suited to modeling. Finally, it is demonstrated that such model possesses the desirable characteristics of a scorecard.

Keywords: Auto Loans; Credit Risk; Credit Scoring; Logistic Regression. (search for similar items in EconPapers)
JEL-codes: C51 C52 G3 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2014-26

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