Questions tagged [credit-scoring]
Statistical models to predict credit risk of individuals or companies
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Assessing Credit Rating Agencies [closed]
Has there been any historical evaluation of the quality of credit ratings provided by agencies such as Fitch, S&P, and Moody's? Are there any academic resources available on this topic? I have ...
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Efficient encoding technique for credit ratings
Is there any categorical encoding technique for credit ratings that take into account the kind of non linear nature of the notches of the credit ratings?
The literature standard is the ordinal one ...
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Where to find historical sovereign credit ratings
For my master thesis i am looking for a historical time series of sovereign credit ratings for all countries from Moodys, Fitch or S&P. I have access to Eikon reuters but i cannot seem to find a ...
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2
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1
answer
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CreditRisk+ spreadsheet implementation
I'm looking for an Excel spreadsheet where the CreditRisk+ model is implemented by means of a simple toy example, like the one the linked paper is referring to. If that spreadsheet is unavailable, I ...
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Mapping internal ratings to external ratings for a scorecard
I am building an internal rating model for commercial loans relying on expert-based scorecards. The ultimate goal of the exercise is to develop the model so that it maps with credit rating agencies' ...
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Credit Scoring model IV max value
I'm making a credit scoring model and I get that one variable has Information Value (IV) more than 1, is that possible?
Formulas are pretty simple for weight of evidence(WoE) and information value(IV)...
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Choosing observations/sample selection in behaviour credit scoring models
In retail banking the credit risk of a creditor after the credit had been granted is often modeled using behavioral credit scoring.
In this setting the customer already has an account (or a few) and ...
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3
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Credit scoring: combining application and behavior scoring
The aim in credit scoring is to distinguish good clients from bad clients.
This is done at the stage of the application (application scoring - AS) based on demographic and similar data. AS is used to ...
- 13.6k
13
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Validating a Credit Scoring Model without Data
Fellow Quants,
Suppose you have a credit scoring model that is developed without the aid of statistics, because (unfortunately) there is no historical default/loss data in your portfolio. The ...
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0
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Bayesian logit model in Psychometric or Behavioural Testing for Credit Scoring in Developing Countries
A lot of parameters in one title, I know. So there's credit scoring but not using credit history. Then there's using a Bayesian logit model. Then there's doing so in a developing country such as Haiti ...
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4
votes
1
answer
878
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Expert System for Credit Scoring
I am working on a credit scoring model for a credit without a garanty (consumer credit).
I'm looking for a methodology for an expert system for credit scoring decision that doesn't base on ...
- 143
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votes
2
answers
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Using Financial Ratios to get credit rating or PD
Hello I'm looking for papers, aside from ones that use CDS spreads, about credit rating development or estimating default probability based on financial ratios that also include methodology and maybe ...
- 921
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votes
4
answers
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Credit Rating or Probability of Default from Financial Ratios
Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria?
Something ...
- 921
2
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3
answers
1k
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For Probability of Default in retail credit what is more popular logistic regression or GLM with Poisson distribution and why?
Trying to understand which regression model is more popular in retail credit card industry Logistic regression or GLM with Poisson distribution and why?
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Reject inference
What are the most effective techniques for reject inference in the context of retail credit scoring. Parcelling is something I use frequently... Any other approaches out there?
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Is variable binning a good thing to do?
Let's say you have a logistic regression model. Some of the factors are intrinsically categorical but some are continuous variables. Under which circumstances should a continuous variable be binned ...
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