A new approach for credit scoring by directly maximizing the Kolmogorov-Smirnov statistic

DOI10.1016/j.csda.2018.10.004MaRDI QIDQ1727903

Xianqiang Yang

Publication date: 21 February 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.10.004

zbMATH Keywords

isotonic regression; credit scoring; Kolmogorov-Smirnov statistic; IMO algorithm

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G40: Credit risk

Uses Software

• isotone