Recalibrating scorecards

Many credit scoring systems depend on scorecards which order applicants by credit risk. However the scorecards may also have other properties with certain scores reflecting certain good:bad odds or differences in scores having the same property throughout the score range. Other properties like positivity of attribute points may be required for palatability or internal marketing reasons. The paper outlines the results of a small survey of what properties scorecard builders require of their scorecards. It then discusses how these properties can be obtained and describes a linear programming formulation which recalibrates scorecards so as to produce the best approximate scorecard with the properties required

Developments in consumer credit risk assessment

Consumer credit risk assessment involves the use of risk assessment tools to manage a borrower’s account from the time of pre-screening a potential application through to the management of the account during its life and possible write-off. The riskiness of lending to a credit applicant is usually estimated using a logistic regression model though researchers have considered many other types of classifier and preliminary evidence suggest support vector machines seem to be the most accurate. The training of a classifier on a sample of accepted applicants rather than on a sample representative of the applicant population seems not to result in bias though it does result in difficulties in setting the cut off. Profit scoring is a promising line of research and the Basel 2 accord has had profound implications for the way in which credit applicants are assessed and bank policies adopted

Credit card holders Characteristics of users and non-users

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.10705(EU-DBS-WP--90/4) / BLDSC - British Library Document Supply CentreGBUnited Kingdo

A comparison of discriminators under alternative definitions of credit default

Second draftAvailable from British Library Document Supply Centre- DSC:9350.10705(EU-DBS-WP--89/12) / BLDSC - British Library Document Supply CentreSIGLEGBUnited Kingdo

Methods for credit scoring applied to slow payers

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.10705(EU-DBS-WP--89/13) / BLDSC - British Library Document Supply CentreGBUnited Kingdo