Khudnitskaya, Alesia S. (2009): Microenvironment-specific Effects in the Application Credit Scoring Model.
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Paper introduces the improved version of a credit scoring model which assesses credit worthiness of applicants for a loan. The scorecard has a two-level multilevel structure which nests applicants for a loan within microenvironments. Paper discusses several versions of the multilevel scorecards which includes random-intercept, random-coefficients and group-level variables. The primary benefit of the multilevel scorecard compared to a conventional scoring model is a higher accuracy of the model predictions.
|Item Type:||MPRA Paper|
|Original Title:||Microenvironment-specific Effects in the Application Credit Scoring Model|
|Keywords:||Credit scoring; Hierarchical clustering; Multilevel model; Random-coefficient; Random-intercept; Monte Carlo Markov chain|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
D - Microeconomics > D1 - Household Behavior and Family Economics > D14 - Personal Finance
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
|Depositing User:||Alesia Khudnitskaya|
|Date Deposited:||22. Jun 2010 08:34|
|Last Modified:||13. Feb 2013 19:09|
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