The Neglog Transformation and Quantile Regression for the Analysis of a Large Credit Scoring Database

DOI10.1111/J.1467-9876.2005.00520.XMaRDI QIDQ5757802zbMATHOpenAlexFDO

Authors Joe Whittaker, Chris Whitehead, Mark Somers

Publication date 7 September 2007

Published in Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9876.2005.00520.x

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Quantile regression for modelling distributions of profit and loss
• Statistical challenges in credit card issuing
• Superscorecards
• Credit Scoring and Its Applications
• Predicting recovery rates using logistic quantile regression with bounded outcomes

Cites work

• A new family of power transformations to improve normality or symmetry
• The elements of statistical learning. Data mining, inference, and prediction

Cited in

(4)

• Predicting the amount individuals withdraw at cash machines using a random effects multinomial model
• Quantile regression for modelling distributions of profit and loss
• Measuring Firm Performance By Using Linear and Non-Parametric Quantile Regressions
• Quantile composite-based path modeling

Describes a project that uses

Uses Software

• ElemStatLearn

This page was built for publication: The Neglog Transformation and Quantile Regression for the Analysis of a Large Credit Scoring Database

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5757802)