Specification and informational issues in credit scoring
By: by Nicholas M. Kiefer and C. Erik Larson.
Contributors: Larson, C. Erik.; United States. Office of the Comptroller of the Currency.
Series: Economic and policy analysis working paper ;; 2004-5; Economic and policy analysis working paper (2000 : Online) ;; 2004-5.
Publisher: Office of the Comptroller of the Currency
Published: 2004
Place of publication: Washington, DC
Language: eng
Format: Electronic resource
Subjects: Credit scoring systems.; Consumer credit.
Description: "Lenders use rating and scoring models to rank credit applicants on their expected performance. The models and approaches are numerous. We explore the possibility that estimates generated by models developed with data drawn solely from extended loans are less valuable than they should be because of selectivity bias. We investigate the value of "reject inference" -- methods that use a rejected applicant's characteristics, rather than loan performance data, in scoring model development. In the course of making this investigation, we also discuss the advantages of using parametric as well as nonparametric modeling. These issues are discussed and illustrated in the context of a simple stylized model"--Office of the Comptroller of the Currency web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/7/2005.
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