The construction of empirical credit scoring rules based on maximization principles

DOI10.1016/J.JECONOM.2009.10.028zbMATH Open1431.62647OpenAlexW2163171248MaRDI QIDQ530979FDOQ530979

Authors: Robert P. Lieli, Halbert White 

Publication date: 1 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.028

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zbMATH Keywords

credit scoringprofit maximizationbinary variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here
• Global optimization of statistical functions with simulated annealing
• Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
• Maximum score estimation of the stochastic utility model of choice
• Predicting binary outcomes
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (9)

• Credit scoring for profitability objectives
• Reject inference methods in credit scoring
• Measuring bias in consumer lending
• Best subset binary prediction
• Credit scoring by incorporating dynamic networked information
• Scoring decisions in the context of economic uncertainty
• Using adaptive learning in credit scoring to estimate take-up probability distribution
• A quantitative theory of the credit score
• Using the area under an estimated ROC curve to test the adequacy of binary predictors

Uses Software

• simannf90

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