| 变量序别化在信用评分模型中的应用研究 |
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| 引用本文： | 程建,连玉君.变量序别化在信用评分模型中的应用研究[J].国际金融研究,2006(8). |
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| 作者姓名： | 程建 连玉君 |
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| 作者单位： | 西安交通大学金禾经济研究中心，西安交通大学金禾经济研究中心 |
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| 摘 要： | 本文通过将连续数值变量进行序别化转换赋值,并基于这些变量建立Log- it信用评分模型,通过使用统计量AUC值与条件熵比率来检验序别化转换前后所建立回归模型的违约预测力。结果发现,连续数值变量经序别化转换后可提高模型的违约预测力及其韧性。
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| 关 键 词： | 序别化转换 信用评分 Logit AUC |
A Study of Application of Ordinalization of Continuous Variable in Credit Scoring Model |
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| Cheng Jian Lian Yujun.A Study of Application of Ordinalization of Continuous Variable in Credit Scoring Model[J].Studies of International Finance,2006(8). |
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| Authors: | Cheng Jian Lian Yujun |
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| Institution: | Cheng Jian Lian Yujun |
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| Abstract: | This paper transforms continuous variables into their corresponding ordinal format firstly,then based on these ordinal variables,we use Logit regression to build credit scoring model.Thereafter,by AUC and CIER we have compared and measured accuracy of predicting default among models built on continuous variables and their ordinal transformation.The result shows,in credit scoring model,ordinalization can improve the ability of predicting default and enhance its robustness. |
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| Keywords: | Ordinalization Credit Scoring Logit AUC |
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