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Iscanoglu Aysegul - Credit Scoring Methods and Accuracy Ratio

Iscanoglu Aysegul - Credit Scoring Methods and Accuracy Ratio

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Published by: henrique_oliv on May 22, 2011
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06/28/2013

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From Figure 5.14, we observe that if the independent variables have high

effects on dependent variables, the bias is fixed after the 30% default level for

data sets with 500 and 1000 observations, i.e. for the larger data sets, and it is

fixed after the 40% default level for smaller data sets.

Moreover, Figures 5.15 and 5.16 indicate very bad estimations of weights. The

smaller data sets give more accurate estimation results. Furthermore, the best

results are taken around the 30% default level for all variables.

98

0.25

0.3

0.35

0.4

0.45

0.5

0.65

0.7

0.75

0.8

0.85

0.9

0.95

1

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

0.85

0.9

0.95

1

1.05

1.1

1.15

1.2

1.25

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

-0.75

-0.7

-0.65

-0.6

-0.55

-0.5

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

0.65

0.7

0.75

0.8

0.85

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

-1.15

-1.1

-1.05

-1

-0.95

-0.9

-0.85

-0.8

-0.75

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

-1.15

-1.1

-1.05

-1

-0.95

-0.9

-0.85

-0.8

-0.75

Defaut Levels

250 data

500 data

1000 data

True Value

Figure 5.15: Twelve variable case: First six coefficients’ estimates and their true

values in different default levels for the second set of weights.

99

0.25

0.3

0.35

0.4

0.45

0.5

0.45

0.5

0.55

0.6

0.65

0.7

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

-0.65

-0.6

-0.55

-0.5

-0.45

-0.4

-0.35

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

0.95

1

1.05

1.1

1.15

1.2

1.25

1.3

1.35

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

0.5

0.52

0.54

0.56

0.58

0.6

0.62

0.64

0.66

0.68

0.7

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

-1.7

-1.65

-1.6

-1.55

-1.5

-1.45

-1.4

-1.35

-1.3

-1.25

Defaut Levels

250 data

500 data

1000 data

True Value

0.25

0.3

0.35

0.4

0.45

0.5

0.55

0.6

0.65

0.7

0.75

0.8

0.85

0.9

Defaut Levels

250 data

500 data

1000 data

True Value

Figure 5.16: Twelve variable case: Second six coefficients’ estimates and their

true values in different default levels for the second set of weights.

100

Third Set of Weights

The third set of weights is the following: w1 = 0.1, w2 = 0.2, w3 = 0.4,

w4 = 0.3, w5 = −0.2, w6 = −0.5, w7 = −0.25, w8 = −0.15, w9 = 0.35, w10 =

0.47, w11 = 0.18 and w12 = 0.1. This set of weights is selected for showing the

prediction accuracy in the data sets in which some variables have high, some have

low effects, some variables have negative and some have positive effects.

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

0.45

0

5

10

15

20

25

Defaut Levels

250 obs
500 obs
1000 obs

Figure 5.17: Twelve variable case: Average coefficient of variation of estimators

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