The construction of empirical credit scoring rules based on maximization principles

DOI10.1016/J.JECONOM.2009.10.028MaRDI QIDQ530979zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

credit scoringprofit maximizationbinary variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3890535 (Why is no real title available?)
• scientific article; zbMATH DE number 1107364 (Why is no real title available?)
• Global optimization of statistical functions with simulated annealing
• Maximum score estimation of the stochastic utility model of choice
• Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here
• Predicting binary outcomes
• Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator

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
• Using the area under an estimated ROC curve to test the adequacy of binary predictors
• A quantitative theory of the credit score

Describes a project that uses

Uses Software

• simannf90

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