On Aspects of Quality Indexes for Scoring Models
| Authors | |
|---|---|
| Year of publication | 2010 |
| Type | Article in Proceedings |
| Conference | 19th International Conference on Computational Statistics, Paris France, August 22-27, 2010 Keynote, Invited and Contributed Papers |
| MU Faculty or unit | |
| Citation | |
| Field | Applied statistics, operation research |
| Keywords | Credit scoring; Quality indexes; Gini index; Lift; Integrated Relative Lift |
| Description | Credit scoring models are widely used to predict a probability of an event like client's default. To measure the quality of the scoring models it is possible to use quantitative indexes such as Gini index, K-S statistics, C-statistics and Lift. They are used for comparison of several developed models at the moment of development as well as for monitoring of quality of those models after deployment into real business. The paper deals with mentioned quality indexes, their properties and relationships. The main contribution of the paper is proposition and discussion of indexes and curves based on Lift. Curve of ideal Lift is defined, Lift ratio is proposed as analogy to Gini index. Integrated Relative Lift is defined and discussed. |
| Related projects: |