2012/09/28 by Karol Przanowski, Przanowski, Karol, Jolanta Mamczarz +1
Business, Management and Accounting · Computer Science · Decision Sciences · Economics, Econometrics and Finance · Health Professions · #Artificial Intelligence in Healthcare #Big Data and Business Intelligence #Data Mining Algorithms and Applications #FOS: Economics and business #Financial Distress and Bankruptcy Prediction #Insurance and Financial Risk Management #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods #q-fin.RM #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1210.0057
21 pages, 9 figures, 7 tables
arxiv created 2012/09/28 · openalex publication_date 2012/09/28 · arxiv updated 2012/10/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper aims to present a general idea of method comparison of Credit Scoring techniques. Any scorecard can be made in various methods based on variable transformations in the logistic regression model. To make a comparison and come up with the proof that one technique is better than another is a big challenge due to the limited availability of data. The same conclusion cannot be guaranteed when using other data from another source. The following research challenge can therefore be formulated: how should the comparison be managed in order to get general results that are not biased by particular data? The solution may be in the use of various random data generators. The data generator uses two approaches: transition matrix and scorings. Here are presented both: results of comparison methods and the methodology of these comparison techniques creating. Before building a new model the modeler can undertake a comparison exercise that aims at identifying the best method in the case of the particular data. Here are presented various measures of predictive model like: Gini, Delta Gini, VIF and Max p-value, emphasizing the multi-criteria problem of a "Good model". The idea that is being suggested is of particular use in the model building process where there are defined complex criteria trying to cover the important problems of model stability over a period of time, in order to avoid a crisis. Some arguments for choosing Logit or WOE approach as the best scorecard technique are presented.