A study in the combination of two consumer credit scores

A study in the combination of two consumer credit scores

0.00 Avg rating0 Votes
Article ID: iaor20021250
Country: United Kingdom
Volume: 52
Issue: 9
Start Page Number: 974
End Page Number: 980
Publication Date: Sep 2001
Journal: Journal of the Operational Research Society
Authors: , ,
Keywords: credit scoring
Abstract:

Credit scores measure the creditworthiness of individuals in a population of interest. In this paper, we employ the concepts of sufficiency and extraneousness to study the conditions under which scoring results can be improved through the combination of individual scores. The concept of sufficiency is used to identify scores that are dominant. Extraneousness is used to determine whether a particular score provides additional useful information relative to other scores. In addition, we employ a profit-based utility measure to evaluate the performance of different scores. We investigate the performance of a regression-based combination of a bureau credit score and an application credit score on a large historical data set. Our results show that the bureau score is dominated by the application score, but the bureau score is not extraneous to the combination. Thus, both scores contribute to the combined score, which indeed outperforms both of the scores upon which it is based.

Reviews

Required fields are marked *. Your email address will not be published.