Credit scoring and its applications:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Philadelphia
Siam
2002
|
| Schriftenreihe: | SIAM monographs on mathematical modeling and computation
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references (p. 233-244) and index |
| Beschreibung: | XIV, 248 S. graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 0898714834 |
Internformat
MARC
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| 245 | 1 | 0 | |a Credit scoring and its applications |c Lyn C. Thomas ; David B. Edelman ; Jonathan N. Crook |
| 264 | 1 | |a Philadelphia |b Siam |c 2002 | |
| 300 | |a XIV, 248 S. |b graph. Darst. |e 1 CD-ROM (12 cm) | ||
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| 490 | 0 | |a SIAM monographs on mathematical modeling and computation | |
| 500 | |a Includes bibliographical references (p. 233-244) and index | ||
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface xiii
1 The History and Philosophy of Credit Scoring 1
1.1 Introduction: What is credit scoring? 1
1.2 History of credit 2
1.3 History of credit scoring 3
1.4 Philosophical approach to credit scoring 4
1.5 Credit scoring and data mining 6
2 The Practice of Credit Scoring 9
2.1 Introduction 9
2.2 Credit assessment before scoring 9
2.3 How credit scoring fits into a lender s credit assessment 11
2.4 What data are needed? 13
2.5 The role of credit scoring consultancies 13
2.6 Validating the scorecard 14
2.7 Relation with information system 14
2.8 Application form 15
2.9 Role of the credit bureau 15
2.10 Overrides and manual intervention 16
2.11 Monitoring and tracking 17
2.12 Relationship with a portfolio of lender s products 18
3 Economic Cycles and Lending and Debt Patterns 19
3.1 Introduction 19
3.2 Changes in credit over time 19
3.3 Microeconomic issues 21
3.3.1 Present value 21
3.3.2 Economic analysis of the demand for credit 22
3.3.3 Credit constraints 25
3.3.4 Empirical evidence 27
3.4 Macroeconomic issues 28
3.4.1 A simplified Keynesian type model of the economy ... 29
3.4.2 The money channel 32
3.4.3 The credit channel 33
3.4.4 Empirical evidence 37
3.5 Default behavior 39
viii Contents
4 Statistical Methods for Building Credit Scorecards 41
4.1 Introduction 41
4.2 Discriminant analysis: Decision theory approach 42
4.2.1 Univariate normal case 45
4.2.2 Multivariate normal case with common covariance .... 46
4.2.3 Multivariate normal case with different covariance matrices 46
4.3 Discriminant analysis: Separating the two groups 47
4.4 Discriminant analysis: A form of linear regression 48
4.5 Logistic regression 50
4.6 Other nonlinear regression approaches 52
4.7 Classification trees (recursive partitioning approach) 53
4.7.1 Kolmogorov Smirnov statistic 55
4.7.2 Basic impurity index i(i ) 56
4.7.3 Gini index 57
4.7.4 Entropy index 58
4.7.5 Maximize half sum of squares 58
4.8 Nearest neighbor approach 60
4.9 Multiple type discrimination 61
5 Nonstatistical Methods for Scorecard Development 63
5.1 Introduction 63
5.2 Linear programming 64
5.3 Integer programming 68
5.4 Neural networks 70
5.4.1 Single layer neural networks 70
5.4.2 Multilayer perceptrons 72
5.4.3 Back propagation algorithm 73
5.4.4 Network architecture 76
5.4.5 Classification and error functions 78
5.5 Genetic algorithms 79
5.5.1 Basic principles 79
5.5.2 Schemata 81
5.6 Expert systems 84
5.7 Comparison of approaches 86
6 Behavioral Scoring Models of Repayment and Usage Behavior 89
6.1 Introduction 89
6.2 Behavioral scoring: Classification approaches 89
6.3 Variants and uses of classification approach based behavioral scoring
systems 90
6.4 Behavioral scoring: Orthodox Markov chain approach 92
6.5 Markov decision process approach to behavioral scoring 96
6.6 Validation and variations of Markov chain models 98
6.6.1 Estimating parameters of a stationary Markov chain model 98
6.6.2 Estimating parameters of nonstationary Markov chains . . 98
6.6.3 Testing if p(i, j) have specific values p°(i, j) 99
6.6.4 Testing if pr(/, j) are stationary 99
6.6.5 Testing that the chain is Markov 100
6.6.6 Mover stayer Markov chain models 101
Contents ix
6.7 Behavioral scoring: Bayesian Markov chain approach 102
7 Measuring Scorecard Performance 107
7.1 Introduction 107
7.2 Error rates using holdout samples and 2x2 tables 108
7.3 Cross validation for small samples 110
7.4 Bootstrapping andjackknifing Ill
7.5 Separation measures: Mahalanobis distance and Kolmogorov Smirnov
statistics 112
7.6 ROC curves and Gini coefficients 115
7.7 Comparing actual and predicted performance of scorecards: The delta
approach 117
8 Practical Issues of Scorecard Development 121
8.1 Introduction 121
8.2 Selecting the sample 121
8.3 Definitions of good and bad 123
8.4 Characteristics available 124
8.5 Credit bureau characteristics 126
8.5.1 Publicly available information 126
8.5.2 Previous searches 127
8.5.3 Shared contributed information 128
8.5.4 Aggregated information 128
8.5.5 Fraud warnings 129
8.5.6 Bureau added value 129
8.6 Determining subpopulations 131
8.7 Coarse classifying the characteristics 131
8.7.1 X2 statistic 132
8.7.2 Information statistic 133
8.7.3 Somer s D concordance statistic 134
8.7.4 Maximum likelihood monotone coarse classifier 138
8.8 Choosing characteristics 139
8.9 Reject inference 141
8.9.1 Define as bad 141
8.9.2 Extrapolation 142
8.9.3 Augmentation 142
8.9.4 Mixture of distributions 143
8.9.5 Three group approach 143
8.10 Overrides and their effect in the scorecards 144
8.11 Setting the cutoff 145
8.12 Aligning and recalibrating scorecards 147
9 Implementation and Areas of Application 151
9.1 Introduction 151
9.2 Implementing a scorecard 151
9.3 Monitoring a scorecard 152
9.4 Tracking a scorecard 156
9.5 When are scorecards too old? 161
9.6 Champion versus challenger 163
x Contents
10 Applications of Scoring in Other Areas of Lending 169
10.1 Introduction 169
10.2 Prescreening 169
10.3 Preapproval 171
10.4 Fraud prevention 171
10.5 Mortgage scoring 172
10.6 Small business scoring 173
10.7 Risk based pricing 174
10.8 Credit extension and transaction authorization 175
10.9 Debt recovery: Collections scoring and litigation scoring 176
10.10 Provisioning for bad debt 177
10.11 Credit reference export guarantees 177
11 Applications of Scoring in Other Areas 179
11.1 Introduction 179
11.2 Direct marketing 179
11.3 Profit scoring 180
11.4 Tax inspection 183
11.5 Payment of fines and maintenance payments 184
11.6 Parole 185
11.7 Miscellany 185
12 New Ways to Build Scorecards 187
12.1 Introduction 187
12.2 Generic scorecards and small sample modeling 188
12.3 Combining two scorecards: Sufficiency and screening 189
12.4 Combining classifiers 193
12.5 Indirect credit scoring 195
12.6 Graphical models and Bayesian networks applied to credit scoring . . 196
12.7 Survival analysis applied to credit scoring 203
13 International Differences 209
13.1 Introduction 209
13.2 Use of credit 209
13.2.1 Consumer credit 209
13.2.2 Credit cards 212
13.3 International differences in credit bureau reports 212
13.3.1 TheU.S 213
13.3.2 Other countries 213
13.4 Choice of payment vehicle 214
13.5 Differences in scorecards 215
13.6 Bankruptcy 215
14 Profit Scoring, Risk Based Pricing, and Securitization 219
14.1 Introduction 219
14.2 Profit maximizing decisions and default based scores 220
14.3 Holistic profit measure 224
14.4 Profit scoring systems 225
14.5 Risk based pricing 227
Contents xi
14.6 Securitization 229
14.7 Mortgage backed securities 231
References 233
Index 245
|
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| illustrated | Illustrated |
| indexdate | 2024-07-09T19:02:59Z |
| institution | BVB |
| isbn | 0898714834 |
| language | English |
| lccn | 2001049846 |
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| spelling | Thomas, Lyn C. 1946-2016 Verfasser (DE-588)170238113 aut Credit scoring and its applications Lyn C. Thomas ; David B. Edelman ; Jonathan N. Crook Philadelphia Siam 2002 XIV, 248 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier SIAM monographs on mathematical modeling and computation Includes bibliographical references (p. 233-244) and index Kreditwürdigkeitsprüfung (DE-588)4123575-7 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Kreditwürdigkeitsprüfung (DE-588)4123575-7 s Statistik (DE-588)4056995-0 s DE-604 Edelman, David B. Sonstige oth Crook, Jonathan N. Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009878101&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| subject_GND | (DE-588)4123575-7 (DE-588)4056995-0 |
| title | Credit scoring and its applications |
| title_auth | Credit scoring and its applications |
| title_exact_search | Credit scoring and its applications |
| title_full | Credit scoring and its applications Lyn C. Thomas ; David B. Edelman ; Jonathan N. Crook |
| title_fullStr | Credit scoring and its applications Lyn C. Thomas ; David B. Edelman ; Jonathan N. Crook |
| title_full_unstemmed | Credit scoring and its applications Lyn C. Thomas ; David B. Edelman ; Jonathan N. Crook |
| title_short | Credit scoring and its applications |
| title_sort | credit scoring and its applications |
| topic | Kreditwürdigkeitsprüfung (DE-588)4123575-7 gnd Statistik (DE-588)4056995-0 gnd |
| topic_facet | Kreditwürdigkeitsprüfung Statistik |
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