Model Risk Measurement - General Concept and Particular Models

• Autorzy: Anna Matuszyk
• Języki publikacji: EN

Abstrakty

EN

Credit scoring models are empirically designed; that is, they are developed entirely from information gained through prior experience, Using historical data and statistical techniques, credit scoring tries to isolate the effects of various applicant characteristics on delinquencies and defaults. The method produces a "score" that a bank can use to rank its loan applicants or borrowers in terms of risk. To build a scoring model, or "scorecard" developers analyze historical data on the performance of previously made loans to determine which borrower characteristics are useful in predicting whether the loan performed well. A well-designed model should give a higher percentage of high scores to borrowers whose loans will perform well and a higher percentage of low scores to borrowers whose loans won't perform well. But no model is perfect, and some bad accounts will receive higher scores than some good accounts. (fragment of text)

Słowa kluczowe

EN

Finance; Information science; Statistical methods; Financial mathematics; Financial risk; Credit scoring

PL

Finanse; Informatyka; Metody statystyczne; Matematyka finansowa; Ryzyko finansowe; Skoring kredytowy

• Czasopismo: Scientific Publications / University of Economics in Katowice
• Rocznik: 2006
• Tom: Mathematical, econometrical and computational methods in finance and insurance
• Strony: 127--136

Twórcy

autor

Anna Matuszyk

• Warsaw Agricultural University, Poland

Bibliografia

• http://www.microfinance.com/English/Papers/Scoring_For_Your_Bank.pdf
• Jayagopal B.: Applying Data Mining Techniques to Credit Scoring. "Condissa Bulletin" 2004, No 5, March, www.codissia.com/news bulletin/ lst December 2004.pdf
• Mays E.: Credit Risk Modeling - Design and Application. The Glenlake Publishing Company Ltd., 1998.
• Mester L.J.: What's the Point of Credit Scoring? "Bussiness Review" 1997, September/October.
• Schreiner M.: Credit Scoring for Microfmance: Can It Work? "Micro- finance Risk Management" 2000, November, http://www.microfinance.com/English/Papers/Scoring_Can_It_Work.pdf
• Thomas L.C.: A Survey of Credit and Behavioural Scoring; Forecasting Financial Risk of Lending to Consumers. "International Journal of Forecasting" 2000, 16.
• Thomas L.C., Edelman D.B., Crook J.N.: Credit and Its Applications. Society for Industrial and Applied Mathematics, Philadelphia 2002.
• Thomas L.C., Oliver R.W., Hand D.J.: A Survey of the Issues in Consumer Credit Modelling Research. Working paper, www.firn.net.au/seminar programme/Paper1LynThomas.pdf