A survey of credit and behavioural scoring: forecasting financial risk of lending to consumers
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Srinivasan, Venkat & Kim, Yong H, 1987. "Credit Granting: A Comparative Analysis of Classification Procedures," Journal of Finance, American Finance Association, vol. 42(3), pages 665-681, July.
- Leonard, Kevin J., 1993. "Empirical Bayes analysis of the commercial loan evaluation process," Statistics & Probability Letters, Elsevier, vol. 18(4), pages 289-296, November.
- Wiginton, John C., 1980. "A Note on the Comparison of Logit and Discriminant Models of Consumer Credit Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(3), pages 757-770, September.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Desai, Vijay S. & Crook, Jonathan N. & Overstreet, George A., 1996. "A comparison of neural networks and linear scoring models in the credit union environment," European Journal of Operational Research, Elsevier, vol. 95(1), pages 24-37, November.
- D. J. Hand & W. E. Henley, 1997. "Statistical Classification Methods in Consumer Credit Scoring: a Review," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 523-541, September.
- Eric Rosenberg & Alan Gleit, 1994. "Quantitative Methods in Credit Management: A Survey," Operations Research, INFORMS, vol. 42(4), pages 589-613, August.
- William E. Hardy & John L. Adrian, 1985. "A linear programming alternative to discriminant analysis in credit scoring," Agribusiness, John Wiley & Sons, Ltd., vol. 1(4), pages 285-292.
- O. L. Mangasarian, 1965. "Linear and Nonlinear Separation of Patterns by Linear Programming," Operations Research, INFORMS, vol. 13(3), pages 444-452, June.
- Eisenbeis, Robert A., 1978.
"Problems in applying discriminant analysis in credit scoring models,"
Journal of Banking & Finance, Elsevier, vol. 2(3), pages 205-219, October.
- Robert A. Eisenbeis, 1978. "Problems in applying discriminant analysis in credit scoring models," Staff Studies 94, Board of Governors of the Federal Reserve System (U.S.).
- Kar Yan Tam & Melody Y. Kiang, 1992. "Managerial Applications of Neural Networks: The Case of Bank Failure Predictions," Management Science, INFORMS, vol. 38(7), pages 926-947, July.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- R. M. Cyert & H. J. Davidson & G. L. Thompson, 1962. "Estimation of the Allowance for Doubtful Accounts by Markov Chains," Management Science, INFORMS, vol. 8(3), pages 287-303, April.
- Altman, Edward I. & Marco, Giancarlo & Varetto, Franco, 1994. "Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural networks (the Italian experience)," Journal of Banking & Finance, Elsevier, vol. 18(3), pages 505-529, May.
- Reichert, Alan K & Cho, Chien-Ching & Wagner, George M, 1983. "An Examination of the Conceptual Issues Involved in Developing Credit-scoring Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 101-114, April.
- Freed, Ned & Glover, Fred, 1981. "Simple but powerful goal programming models for discriminant problems," European Journal of Operational Research, Elsevier, vol. 7(1), pages 44-60, May.
- Jos A. M. van Kuelen & Jaap Spronk & A. Wayne Corcoran, 1981. "Note---On the Cyert-Davidson-Thompson Doubtful Accounts Model," Management Science, INFORMS, vol. 27(1), pages 108-112, January.
- Harold Bierman, Jr. & Warren H. Hausman, 1970. "The Credit Granting Decision," Management Science, INFORMS, vol. 16(8), pages 519-532, April.
- O. L. Mangasarian, 1993. "Mathematical Programming in Neural Networks," INFORMS Journal on Computing, INFORMS, vol. 5(4), pages 349-360, November.
- A. Wayne Corcoran, 1978. "The Use of Exponentially-Smoothed Transition Matrices to Improve Forecasting of Cash Flows from Accounts Receivable," Management Science, INFORMS, vol. 24(7), pages 732-739, March.
- Eisenbeis, Robert A, 1977. "Pitfalls in the Application of Discriminant Analysis in Business, Finance, and Economics," Journal of Finance, American Finance Association, vol. 32(3), pages 875-900, June.
- Peter Kolesar & Janet L. Showers, 1985. "A Robust Credit Screening Model Using Categorical Data," Management Science, INFORMS, vol. 31(2), pages 123-133, February.
- Dileep Mehta, 1968. "The Formulation of Credit Policy Models," Management Science, INFORMS, vol. 15(2), pages 30-50, October.
- Houshmand A. Ziari & David J. Leatham & Paul N. Ellinger, 1997. "Development of Statistical Discriminant Mathematical Programming Model Via Resampling Estimation Techniques," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(4), pages 1352-1362.
- J. L. Showers & L. M. Chakrin, 1981. "Reducing Uncollectible Revenue from Residential Telephone Customers," Interfaces, INFORMS, vol. 11(6), pages 21-34, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hussein A. Abdou & John Pointon, 2011. "Credit Scoring, Statistical Techniques And Evaluation Criteria: A Review Of The Literature," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 18(2-3), pages 59-88, April.
- Li Gan & Roberto Mosquera, 2008. "An Empirical Study of the Credit Market with Unobserved Consumer Typers," NBER Working Papers 13873, National Bureau of Economic Research, Inc.
- Dimitras, A. I. & Zanakis, S. H. & Zopounidis, C., 1996. "A survey of business failures with an emphasis on prediction methods and industrial applications," European Journal of Operational Research, Elsevier, vol. 90(3), pages 487-513, May.
- Goriunov Dmytro & Venzhyk Katerina, 2013. "Loan Default Prediction in Ukrainian Retail Banking," EERC Working Paper Series 13/07e, EERC Research Network, Russia and CIS.
- Seifert, Daniel & Seifert, Ralf W. & Protopappa-Sieke, Margarita, 2013. "A review of trade credit literature: Opportunities for research in operations," European Journal of Operational Research, Elsevier, vol. 231(2), pages 245-256.
- Ha-Thu Nguyen, 2015. "How is credit scoring used to predict default in China?," EconomiX Working Papers 2015-1, University of Paris Nanterre, EconomiX.
- Fernandes, Guilherme Barreto & Artes, Rinaldo, 2016. "Spatial dependence in credit risk and its improvement in credit scoring," European Journal of Operational Research, Elsevier, vol. 249(2), pages 517-524.
- Härdle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2012.
"Support vector machines with evolutionary feature selection for default prediction,"
SFB 649 Discussion Papers
2012-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Hardle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2013. "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," LIDAM Discussion Papers ISBA 2013040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Carlos Serrano-Cinca, 1997. "Feedforward neural networks in the classification of financial information," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 183-202.
- Crook, Jonathan N. & Edelman, David B. & Thomas, Lyn C., 2007. "Recent developments in consumer credit risk assessment," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1447-1465, December.
- Andreea Costea, 2017. "A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 20(63), pages 157-186, March.
- Zhixin Liu & Ping He & Bo Chen, 2019. "A Markov decision model for consumer term-loan collections," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1043-1064, May.
- Greta Falavigna, 2006. "Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks," CERIS Working Paper 200610, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY.
- Lili Li & Jun Yang & Xin Zou, 2016. "A study of credit risk of Chinese listed companies: ZPP versus KMV," Applied Economics, Taylor & Francis Journals, vol. 48(29), pages 2697-2710, June.
- Arno Botha & Conrad Beyers & Pieter de Villiers, 2020. "The loss optimisation of loan recovery decision times using forecast cash flows," Papers 2010.05601, arXiv.org.
- G Verstraeten & D Van den Poel, 2005.
"The impact of sample bias on consumer credit scoring performance and profitability,"
Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(8), pages 981-992, August.
- G. Verstraeten & D. Van Den Poel, 2004. "The Impact of Sample Bias on Consumer Credit Scoring Performance and Profitability," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/232, Ghent University, Faculty of Economics and Business Administration.
- Sanjeev Mittal & Pankaj Gupta & K. Jain, 2011. "Neural network credit scoring model for micro enterprise financing in India," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 3(3), pages 224-242, October.
- Şaban Çelik, 2013. "Micro Credit Risk Metrics: A Comprehensive Review," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(4), pages 233-272, October.
- José Carlos Trejo-García & Miguel Ángel Martínez-García & Francisco Venegas-Martínez, 2017. "Credit risk management at retail in Mexico: An econometric improvement in the selection of variables and changes in their characteristics," Contaduría y Administración, Accounting and Management, vol. 62(2), pages 13-14, Abril-Jun.
- Robert Till & David Hand, 2003. "Behavioural models of credit card usage," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1201-1220.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:16:y:2000:i:2:p:149-172. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ijforecast .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.