A comparison study of computational methods of Kolmogorov-Smirnov statistic in credit scoring

DOI10.1080/03610918.2016.1249883zbMATH Open1383.62257OpenAlexW2547369813MaRDI QIDQ3133043FDOQ3133043

Authors: Guoping Zeng 

Publication date: 12 February 2018

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1249883

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zbMATH Keywords

Kolmogorov-Smirnov statisticcredit scoringrank orderingequal-size binningequal-width binninglift table

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cited In (8)

• A new approach for credit scoring by directly maximizing the Kolmogorov-Smirnov statistic
• A graphic and tabular variable deduction method in logistic regression
• Variable selection of Kolmogorov-Smirnov maximization with a penalized surrogate loss
• On the analytical properties of category encodings in logistic regression
• On the relationship between multicollinearity and separation in logistic regression
• Efficient optimal Kolmogorov approximation of random variables
• On the confusion matrix in credit scoring and its analytical properties
• On the three-way equivalence of AUC in credit scoring with tied scores

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