Microenvironment-specific Effects in the Application Credit Scoring Model

Alesia S. Khudnitskaya

MPRA Paper from University Library of Munich, Germany

Abstract: Paper introduces the improved version of a credit scoring model which assesses credit worthiness of applicants for a loan. The scorecard has a two-level multilevel structure which nests applicants for a loan within microenvironments. Paper discusses several versions of the multilevel scorecards which includes random-intercept, random-coefficients and group-level variables. The primary benefit of the multilevel scorecard compared to a conventional scoring model is a higher accuracy of the model predictions.

Keywords: Credit scoring; Hierarchical clustering; Multilevel model; Random-coefficient; Random-intercept; Monte Carlo Markov chain (search for similar items in EconPapers)
JEL-codes: C53 D14 G21 (search for similar items in EconPapers)
Date: 2009-12
New Economics Papers: this item is included in nep-ban, nep-mic and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:23175

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