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  • For a measurement of partial processes of a financial institution, especially their components like scoring models or other predictive models, it is possible to use quantitative indexes such as Gini index, K-S statistics, Lift and Information statistics. They can be used for comparison of several developed models at the moment of development. It is possible to use them for monitoring of quality of models after the deployment into real business as well. The outcome is then an effective tool to attract new creditworthy customers, and at the same time, control losses. This paper deals with definition of good/bad client, which is crucial for further computations. The main part is devoted to quality indexes based on distribution functions and on density functions. It brings some interesting results connected to Lift in general and for normally distributed data. An application on real data is included too.
  • For a measurement of partial processes of a financial institution, especially their components like scoring models or other predictive models, it is possible to use quantitative indexes such as Gini index, K-S statistics, Lift and Information statistics. They can be used for comparison of several developed models at the moment of development. It is possible to use them for monitoring of quality of models after the deployment into real business as well. The outcome is then an effective tool to attract new creditworthy customers, and at the same time, control losses. This paper deals with definition of good/bad client, which is crucial for further computations. The main part is devoted to quality indexes based on distribution functions and on density functions. It brings some interesting results connected to Lift in general and for normally distributed data. An application on real data is included too. (en)
Title
  • Quality indexes of predictive models in risk and portfolio management
  • Quality indexes of predictive models in risk and portfolio management (en)
skos:prefLabel
  • Quality indexes of predictive models in risk and portfolio management
  • Quality indexes of predictive models in risk and portfolio management (en)
skos:notation
  • RIV/00216224:14310/09:00036102!RIV10-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
  • 337796
http://linked.open...ai/riv/idVysledku
  • RIV/00216224:14310/09:00036102
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Portfolio management; predictive modelling; credit scoring; quality indexes. (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [0281A5E8E8FD]
http://linked.open...v/mistoKonaniAkce
  • Ioannina, Greece
http://linked.open...i/riv/mistoVydani
  • Ioannina, Greece
http://linked.open...i/riv/nazevZdroje
  • IMAEF 2009 Proceedings
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, František
  • Řezáč, Martin
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
issn
  • 1791-9800
number of pages
http://purl.org/ne...btex#hasPublisher
  • Department of Economics, University of Ioannina
https://schema.org/isbn
  • 978-960-233-196-5
http://localhost/t...ganizacniJednotka
  • 14310
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