A class of categorization methods for credit scoring models

DOI10.1016/J.EJOR.2021.04.029MaRDI QIDQ2239972zbMATH OpenOpenAlexFDO

Authors Diego M. B. Silva, Gustavo H. A. Pereira, Tiago M. Magalhães

Publication date 5 November 2021

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2021.04.029

zbMATH Keywords

covariate categorizationcredit scoring modelsdiscretizationlogistic regressionrisk analysis

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

• A prediction-driven mixture cure model and its application in credit scoring
• An introduction to statistical learning. With applications in R
• Applied logistic regression
• Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research
• Consumer finance: challenges for operational research
• Credit scoring and its applications.
• Credit scoring by incorporating dynamic networked information
• Dynamic survival models with varying coefficients for credit risks.
• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• scientific article; zbMATH DE number 2061729 (Why is no real title available?)
• scientific article; zbMATH DE number 6107964 (Why is no real title available?)
• Object selection in credit scoring using covariance matrix of parameters estimations
• Sample selection bias in credit scoring models

Cited in

(12)

• Promoting variable effect consistency in mixture cure model for credit scoring
• A classification spline machine for building a credit scorecard
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• The planning of marketing strategies in consumer credit: an approach based on graphical chain models for ordinal variables
• scientific article; zbMATH DE number 6135353 (Why is no real title available?)
• Categorical multiblock linear discriminant analysis
• Classification of debtor credit status and determination amount of credit risk by using linier discriminant function
• Fused least absolute shrinkage and selection operator for credit scoring
• scientific article; zbMATH DE number 5585959 (Why is no real title available?)
• Autobin: a predictive approach towards automatic binning using data splitting
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• Supervised feature compression based on counterfactual analysis

Describes a project that uses

Uses Software

• Ameva
• R
• discretization
• simstudy
• ISLR
• aplore3

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