Credit scoring methods and accuray ratio

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2005

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İşcanoğlu, Ayşegül

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The credit scoring with the help of classification techniques provides to take easy and quick decisions in lending. However, no definite consensus has been reached with regard to the best method for credit scoring and in what conditions the methods performs best. Although a huge range of classification techniques has been used in this area, the logistic regression has been seen an important tool and used very widely in studies. This study aims to examine accuracy and bias properties in parameter estimation of the logistic regression by using Monte Carlo simulations in four aspect which are dimension of the sets, length, the included percentage defaults in data and effect of variables on estimation. Moreover, application of some important statistical and non-statistical methods on Turkish credit default data is provided and the method accuracies are compared for Turkish market. Finally, ratings on the results of best method is done by using receiver operating characteristic curve.

Subject Keywords

Credit.

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http://etd.lib.metu.edu.tr/upload/12606502/index.pdf
https://hdl.handle.net/11511/15344

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Graduate School of Applied Mathematics, Thesis

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Citation Formats

A. İşcanoğlu, “Credit scoring methods and accuray ratio,” M.S. - Master of Science, Middle East Technical University, 2005.