Credit scoring and its applications:
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Philadelphia
SIAM, Society for Industrial and Applied Mathematics
[2017]
|
| Edition: | second edition |
| Series: | Mathematics in industry
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xiv, 373 Seiten Illustrationen |
| ISBN: | 9781611974553 |
Staff View
MARC
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| 245 | 1 | 0 | |a Credit scoring and its applications |c Lyn Thomas, Jonathan Crook, David Edelman |
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Record in the Search Index
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| adam_text | Contents
Preface to the Second Edition xi
Preface to the First Edition 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 ................... 6
1.5 Credit scoring and data mining.............................. 8
1.6 Definition of a credit score............................... 10
2 The Practice of Credit Scoring 11
2.1 Introduction............................................... 11
2.2 Credit assessment and how scoring is used in it ........... 11
2.3 What data are needed?...................................... 17
2.4 Data availability, accuracy, and reliability............... 18
2.5 Credit bureaus in different countries...................... 20
2.6 Validating the scorecard................................... 21
2.7 Application form .......................................... 21
2.8 Overrides and manual intervention ......................... 22
2.9 Monitoring and tracking.................................... 22
2.10 Relationship with a portfolio of lender’s products......... 23
2.11 Who are the scorecard developers? ......................... 24
3 Common Methods for Building Scorecards 25
3.1 Introduction............................................... 25
3.2 Naive Bayes method......................................... 26
3.3 Linear regression ....................................... 30
3.4 Logistic regression........................................ 36
3.5 Other nonlinear regression approaches...................... 38
3.6 Maximizing divergence...................................... 39
3.7 Classification trees (recursive partitioning approach)..... 40
3.8 Multiple-type discrimination............................... 47
4 Alternative Methods of Building Scorecards 49
4.1 Introduction............................................... 49
4.2 Linear programming......................................... 50
4.3 Integer programming........................................ 54
vi i
viii Contents
4.4 Neural networks........................................... 57
4.5 Support vector machines................................... 66
4.6 Rule extraction techniques................................ 70
4.7 Genetic methods........................................... 74
4.8 Nearest neighbor approach................................. 80
4.9 Bayesian networks......................................... 82
4.10 Ensemble methods.......................................... 88
4.11 Comparison of approaches.................................. 92
5 Survival Methods 99
5.1 Introduction................................................ 99
5.2 Basic concepts of survival analysis; survival function
and hazard function..........................................101
5.3 Cox’s proportional hazards model............................103
5.4 Competing risks.............................................107
5.5 Discrete time models...................................... 109
5.6 Time-varying characteristics including economic
variables................................................... Ill
5.7 Intensity models........................................... 112
5.8 Using survival analysis to model loss given default
and exposure at default..................................... 114
6 Managing the Data in Scorecard Development 117
6.1 Introduction............................................... 117
6.2 Selecting the sample....................................... 117
6.3 Definitions of Good and Bad . ............................. 120
6.4 Characteristics available.................................. 122
6.5 Credit bureau characteristics.............................. 125
6.6 Determining subpopulations................................. 129
6.7 Coarse classifying the characteristics .................... 130
6.8 Choosing characteristics .................................. 137
6.9 Reject inference........................................... 141
6.10 Overrides and their effect in the scorecards............... 149
6.11 Setting the cutoff......................................... 150
6.12 Aligning and recalibrating scorecards...................... 154
7 Behavioral Scoring 157
7.1 Introduction............................................... 157
7.2 Characteristics in behavioral scorecards....................158
7.3 Variations and uses of classification behavioral scoring
systems .................................................... 160
7.4 Behavioral scoring: Orthodox Markov chain approach .... 162
7.5 Markov decision process approach to behavioral scoring ... 166
7.6 Validation and variations of Markov chain models............169
7.7 Behavioral scoring: Bayesian Markov chain approach .... 173
8 Measuring Scorecard Performance 179
8.1 Introduction............................................... 179
8.2 Holdout samples............................................ 180
8.3 Cross-validation for small samples......................... 181
Contents
IX
8.4 Bootstrapping............................................. 182
8.5 Discrimination using separation measures: Divergence,
information value, and Mahalanobis distance............... 183
8.6 ROC curves, AUROC, Gini coefficients, KS statistic,
and H statistic........................................... 186
8.7 Correctness of categorical predictions.................... 192
8.8 Measures of probability prediction calibration............ 195
9 Implementation and Areas of Application 199
9.1 Introduction.............................................. 199
9.2 Operational implementation of a scorecard................. 199
9.3 Introduction to monitoring and tracking of a scorecard ... 201
9.4 Monitoring analyses....................................... 202
9.5 Tracking of a scorecard....................................209
9.6 When are scorecards too old? ..............................219
9.7 Improving a scorecard......................................222
9.8 Champion vs. challenger.................................. 225
9.9 Other application areas....................................229
10 Economic Issues 235
10.1 Introduction.............................................. 235
10.2 Changes in credit over time ............................ . 235
10.3 Microeconomic issues.......................................238
10.4 Macroeconomic issues.......................................246
10.5 Default behavior.......................................... 254
10.6 Overindebtedness...........................................258
10.7 Affordability..............................................261
11 Capital Requirements and the Basel Accords 265
11.1 Introduction...............................................265
11.2 History of the Basel Accords...............................266
11.3 Summary of the requirements of the Basel II Accord .... 269
11.4 Pillar 1 minimum capital requirements......................269
11.5 Basel III..................................................297
11.6 Stress testing.............................................301
11.7 Evaluation of Basel III....................................305
12 Securitization and the Subprime Mortgage Crisis 307
12.1 Introduction...............................................307
12.2 Securitization.............................................307
12.3 Causes of the subprime crisis............................. 311
12.4 Performance of credit scorecards in the crisis.............315
12.5 The performance of rating agencies and mortgage-backed
securities models in the crisis.......................... 316
12.6 Impact and consequences of global financial crisis.........320
13 Variable Pricing and Risk-Based Pricing 323
13.1 Introduction...............................................323
13.2 Response rates and take probabilities......................324
Contents
13.3 Simple profitability model and optimal risk-based pricing
with rate-only dependent response rates.......................328
13.4 Profitability models with Basel capital requirements
and risk-based response rates.................................332
13.5 Adverse selection and the winner’s curse in variable
pricing.........................................................337
Bibliography 341
Index
369
|
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| illustrated | Illustrated |
| indexdate | 2024-07-10T08:00:26Z |
| institution | BVB |
| isbn | 9781611974553 |
| language | English |
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| physical | xiv, 373 Seiten Illustrationen |
| publishDate | 2017 |
| publishDateSearch | 2017 |
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| publisher | SIAM, Society for Industrial and Applied Mathematics |
| record_format | marc |
| series2 | Mathematics in industry |
| spelling | Thomas, Lyn C. 1946-2016 Verfasser (DE-588)170238113 aut Credit scoring and its applications Lyn Thomas, Jonathan Crook, David Edelman second edition Philadelphia SIAM, Society for Industrial and Applied Mathematics [2017] xiv, 373 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Mathematics in industry 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 Crook, Jonathan N. Verfasser (DE-588)124204716 aut Edelman, David Verfasser (DE-588)1147650462 aut Erscheint auch als Online-Ausgabe 978-1-611974-56-0 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030121314&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Thomas, Lyn C. 1946-2016 Crook, Jonathan N. Edelman, David Credit scoring and its applications Kreditwürdigkeitsprüfung (DE-588)4123575-7 gnd Statistik (DE-588)4056995-0 gnd |
| 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 Thomas, Jonathan Crook, David Edelman |
| title_fullStr | Credit scoring and its applications Lyn Thomas, Jonathan Crook, David Edelman |
| title_full_unstemmed | Credit scoring and its applications Lyn Thomas, Jonathan Crook, David Edelman |
| 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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