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  • The J-divergence (also called Information value for credit scoring purposes) is, beside Gini coefficient and Kolmogorov-Smirnov statistic, one of the most widely used index to assess the quality of credit scoring models. The paper deals with nonparametric estimators of the J-divergence. The main contribution lies in providing a simulation study showing properties of considered estimators. Specifically, the paper deals with the bias and mean squared error (MSE) of the estimators according to size of data sample, selected distribution types and selected parameters of credit portfolio (given data sample).
  • The J-divergence (also called Information value for credit scoring purposes) is, beside Gini coefficient and Kolmogorov-Smirnov statistic, one of the most widely used index to assess the quality of credit scoring models. The paper deals with nonparametric estimators of the J-divergence. The main contribution lies in providing a simulation study showing properties of considered estimators. Specifically, the paper deals with the bias and mean squared error (MSE) of the estimators according to size of data sample, selected distribution types and selected parameters of credit portfolio (given data sample). (en)
Title
  • Bias and MSE of J-divergence Estimators for Scoring Models
  • Bias and MSE of J-divergence Estimators for Scoring Models (en)
skos:prefLabel
  • Bias and MSE of J-divergence Estimators for Scoring Models
  • Bias and MSE of J-divergence Estimators for Scoring Models (en)
skos:notation
  • RIV/00216224:14310/13:00067522!RIV14-MSM-14310___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 63289
http://linked.open...ai/riv/idVysledku
  • RIV/00216224:14310/13:00067522
http://linked.open...riv/jazykVysledku
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  • Credit scoring; Quality indices; J-divergence; Information value; ESIS (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [7E534CC257A7]
http://linked.open...v/mistoKonaniAkce
  • Podlesí, Svratka
http://linked.open...i/riv/mistoVydani
  • Brno
http://linked.open...i/riv/nazevZdroje
  • Financial Mathematics in Practice II, Book of short papers
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Řezáč, Martin
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
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  • Masarykova univerzita
https://schema.org/isbn
  • 9788021061767
http://localhost/t...ganizacniJednotka
  • 14310
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