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Majer Izabela (Warsaw School of Economics, Poland)
Application scoring: logit model approach and the divergence method compared
Department of Applied Econometrics Working Papers, 2006, nr 10, 24 s., rys., tab., bibliogr. 20 poz.
Słowa kluczowe
Zdolność kredytowa, Dywergencja, Ryzyko kredytowe, Model logitowy
Credit capacity, Divergence, Credit risk, Logit model
This study presents the example of application scoring. Two methods are considered: logit model approach and the divergence method. The practical example uses contemporary data on loan applications from the Polish bank. The constructed scoring models are validated on the hold-out sample. Both types of models seem to be acceptable and have high discriminatory power. The prediction accuracy measures indicate that the scoring based on divergence method is better than the one founded on logit model approach.(original abstract)
Pełny tekst
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