Recalibrating scorecards
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.
credit scoring, linear programming, credit scorecards
981-988
Thomas, L.C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Banasik, J.
d6fc0c7f-4f5c-40f2-bc91-38cc01ee5da4
Crook, J.N.
f2b1a121-eeb1-4f88-86d7-f96a197e8c94
2001
Thomas, L.C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Banasik, J.
d6fc0c7f-4f5c-40f2-bc91-38cc01ee5da4
Crook, J.N.
f2b1a121-eeb1-4f88-86d7-f96a197e8c94
Thomas, L.C., Banasik, J. and Crook, J.N.
(2001)
Recalibrating scorecards.
Journal of the Operational Research Society, 52 (9), .
Abstract
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.
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More information
Published date: 2001
Keywords:
credit scoring, linear programming, credit scorecards
Identifiers
Local EPrints ID: 35746
URI: http://eprints.soton.ac.uk/id/eprint/35746
ISSN: 0160-5682
PURE UUID: e7078b5c-d088-41a0-a31e-96616b01b1ae
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Date deposited: 22 May 2006
Last modified: 08 Jan 2022 15:54
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Contributors
Author:
L.C. Thomas
Author:
J. Banasik
Author:
J.N. Crook
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