Publication detail

Construction and application of scoring models

OBROVÁ, V.

Original Title

Construction and application of scoring models

Type

conference paper

Language

English

Original Abstract

This paper focuses on the definition and practical application of scoring models that are used not only in the bank sector, but also by other institutions to assess whether the client can get a loan or not. If there is an incorrect decision due to wrong definition in this model then the institution is exposed to risk of loss. Therefore when any application for the loan is posted, institution needs to do the best quantification of the risks. Only after that is able to decide, on the basis of available information, about the applicant. There will be used logistic regression method in the process of constructing the models in this paper. The output of this method has to estimate the conditional probability of client repayment of the loan with given characteristics. One of the most studied characters of the scoring model is the ability of diversification represented by the Lorenz curve and quantified by Gini coefficient.

Keywords

scoring model; Gini coefficient; Lorenz curve; credit risk

Authors

OBROVÁ, V.

RIV year

2012

Released

11. 9. 2012

Publisher

Silesian University in Opava,

Location

Karviná

ISBN

978-80-7248-779-0

Book

Proceedings of 30th International Conference Mathematical Methods in Economics

Pages from

658

Pages to

663

Pages count

1050

BibTex

@inproceedings{BUT94061,
  author="Vladěna {Štěpánková}",
  title="Construction and application of scoring models",
  booktitle="Proceedings of 30th International Conference Mathematical Methods in Economics",
  year="2012",
  pages="658--663",
  publisher="Silesian University in Opava,",
  address="Karviná",
  isbn="978-80-7248-779-0"
}