Recalibrating scorecards

Recalibrating scorecards

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Article ID: iaor20021251
Country: United Kingdom
Volume: 52
Issue: 9
Start Page Number: 981
End Page Number: 988
Publication Date: Sep 2001
Journal: Journal of the Operational Research Society
Authors: , ,
Keywords: credit scoring
Abstract:

Many credit scoring systems depend on scorecards which order applicants by credit risk. However the scorecards may also have other properties with certain scores reflecting certain good:bad odds or differences in scores having the same property throughout the score range. Other properties like positivity of attribute points may be required for palatability or internal marketing reasons. The paper outlines the results of a small survey of what properties scorecard builders require of their scorecards. It then discusses how these properties can be obtained and describes a linear programming formulation which recalibrates scorecards so as to produce the best approximate scorecard with the properties required.

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