The evaluation of classification models for credit scoring

The evaluation of classification models for credit scoring

The

Contents
1
Introduction
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2
Reasons of the model evaluation
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3
3
Criterions of the model evaluation
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6
3.1
The classification accuracy
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6
3.1.1
The estimation of true error rates
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6
3.1.2
Sampling of train and test data
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7
3.1.2.1
Sampling for the adjustment of model structures
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7
3.1.2.2
Sampling for population drift
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8
3.1.3
The size of train and test data
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9
3.2
Practicability criterions
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4
Methods of the model evaluation
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16
4.1
Confusion matrix and two types of errors
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16
4.2
The tradeoff of two types of error rates
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17
4.2.1
ROC Curve
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4.2.2
Cost function
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4.2.3
The determination of the threshold value
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21
4.3
Incremental analysis
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24
4.3.1
Learning curve
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4.3.2
Incremental case analysis
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4.3.3
Incremental complexity analysis
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25
4.3.4
The basic phenomenology of incrementa
l analysis
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5
An example of the credit scoring model evaluation
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28
5.1
Problem definition and data preparation
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5.1.1
Definition of the objective of scoring mo
dels and the risk classes
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5.1.2
Preparation of the data
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32
5.2
The process of the evaluation
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34
5.2.1
Incremental analysis
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35
5.2.2
Comparison analysis

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