How low can you go?
Subtitle: an optimal sampling strategy for fair lending exams
By: by Jason Dietrich.
Contributors: United States. Office of the Comptroller of the Currency.
Series: Economic and policy analysis working paper ;; 2001-3; Economic and policy analysis working paper (2000 : Online) ;; 2001-3.
Publisher: Office of the Comptroller of the Currency
Published: 2001
Place of publication: Washington, DC
Language: eng
Format: Electronic resource
Subjects: Bank loans -- Mathematical models.; Banks and banking -- United States -- Examination.; Monte Carlo method.
Description: "This study uses Monte Carlo simulation to examine the impact of nine sampling strategies on the finite sample performance of the maximum likelihood logit estimator. Empirical researchers face a tradeoff between the lower resource costs associated with smaller samples and the increased confidence in the results gained from larger samples. Choice of sampling strategy is one tool researchers can use to reduce costs yet still attain desired confidence levels. The nine sampling strategies examined in this study include simple random sampling and eight variations of stratified random sampling. Bias, mean-square-error, percentage of models that are feasibly estimated, and percentage of simulated estimates that differ statistically from the true population parameters are used as measures of finite sample performance. The results show stratified random sampling by action (loan approval/denial) and race of the applicant, with balanced strata sizes and a bias correction for choice-based sampling, outperforms each of the other sampling strategies with respect to the four performance measures. These findings, taken together with supporting evidence presented in Scheuren and Sangha (1998) and Giles and Courchane (2000) make a strong argument for implementing such a sampling strategy in future fair lending exams"--Office of the Comptroller of the Currency web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/7/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.