Credit Scoring

« Commerce et crédit : une réhabilitation sous condition », Structures et dynamiques religieuses dans les sociétés de l’Occident latin, 1179-1434, sous la direction de Marie-Madeleine de CEVINS et Jean-Michel MATZ, Rennes, Presses universitaires de Rennes, 2011, p. 469-479.

by Claude Denjean

Elite knowledges: framing risk and the geographies of credit

by Thomas Wainwright

(2011) Environment and Planning A 43(3): 650 – 665

Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito

by José Fernando Moreno Gutiérrez

Este documento describe la metodología desarrollada por Vapnik (1995), denominada máquinas de vectores de soporte... more Este documento describe la metodología desarrollada por Vapnik (1995), denominada máquinas de vectores de soporte (SVM, por sus siglas en inglés) y realiza dos aplicaciones al caso de clasificación de agentes para el otorgamiento de créditos a partir de sus características. El primer caso de estudio clasifica individuos de un banco alemán. En el segundo caso se pronostica el incumplimiento del pago de créditos comerciales otorgados a empresas colombianas utilizando las características iniciales del crédito. SVM se compara con dos metodologías utilizadas en el análisis de este tipo de problemas, regresión logística y análisis lineal discriminante. Los resultados arrojan un mejor desempeño en la predicción por parte de SVM respecto a las otras dos metodologías.

Country risk assessment using economic and political factors for Asian countries (working paper)

by Suyash Baderiya

This paper aims to develop a multiple regression model for country risk assessment using its economic and political... more This paper aims to develop a multiple regression model for country risk assessment using its economic and political factor and analyze the effect of changes in these factors on risk ratings. The ratings are as per Standard & Poor’s sovereign foreign currency sovereign rating. The analysis is based on data for 28 Asian countries provided by some international organizations as well as data from various other trusted organizations.
This paper is an extension of the paper by Raluca, Zizi(2011) where we have included another political factor and removed a few factors, which we found to be highly correlated or data was not available for the countries in our analysis. The main motivation for including another political factor, i.e., coalition government was the current inefficiency observed in decision making in India leading to problems with Indian economy.

Comment: Classifier technology and the illusion of progress - Credit scoring

by Ross Gayler

Gayler, R.W. (2006). Comment: Classifier technology and the illusion of progress - Credit scoring.  Statistical Science, 21(1), 19-23.  Commentary on: Hand, D.J. (2006) "Classifier technology and the illusion of progress", Statistical Science, 21(1), 1-15.

These comments support Hand’s argument for the lack of practical progress in classifier technology by pursuing them a... more These comments support Hand’s argument for the lack of practical progress in classifier technology by pursuing them a little deeper in the specific context of credit scoring. Academic development of modeling techniques tends to ignore the role of the practitioner and the impact of business objectives. In credit scoring it can be seen that the nature of the task forces practitioners to adopt modeling strategies that positively favor simple techniques or, at least, limit the possible advantage of sophisticated techniques. The strategies adopted by credit scorers can be viewed as a heuristic approach to inference of the unobserved (and unobservable) distribution of possible data sets. The technical progress examined by Hand has been aimed toward better goodness of fit. However, technical progress toward a more principled basis for inferring the distribution of future problem data would be more likely to be adopted in practice.

Théoriser le crédit de face-à-face : un système d’information dans une économie de l’obligation

by Gilles Laferté

The literature on credit has developed strongly in recent years. This review of that literature focuses in particular... more The literature on credit has developed strongly in recent years. This review of that literature focuses in particular on face-to-face credit. It proposes an analytic framework that attends to both social structure and interaction. We question the logic of inter-acquaintanceship that lies at the core of face-to-face credit and that is often understood as an economic extension of membership in common social groups. Avoiding the term of “trust”, we understand inter-acquaintanceship both as a system of information about people’s solvency and as a means for controlling repayment. Transactions over time form part of shared value systems that are renegotiated to arrange exchanges and provide guarantees. This relationship of power over people involving various social scenes allows us to articulate and to distinguish relations of debt from relations of credit. In this context we avoid the term moral economy, and prefer instead the conceptualization of the economy of obligation borrowed from Craig Muldrew.

Le crédit direct des commerçants aux consommateurs: persistance et dépassement dans le textile à Lens (1920-1970)

by Gilles Laferté

Le crédit de face-à-face du commerçant à sa clientèle a persisté en France jusqu’aux années 1970. A travers une étude... more Le crédit de face-à-face du commerçant à sa clientèle a persisté en France jusqu’aux années 1970. A travers une étude de cas du commerce de textile et d’habillement dans le bassin minier lensois, il s’agit de revenir sur les conditions sociales qui permettent ces transactions. Dans le contexte migratoire du XXème siècle, c’est la « reconnaissance sociale » qui fonde ce marché. L’effritement du contrôle social par l’interconnaissance conduit à l’identification de la clientèle et à la contractualisation des transactions. Finalement, ce marché du crédit de face-à-face disparaît par l’intervention des établissements de crédits et des banques dans la transaction commerciale.

O crédito entre as classes populares francesas: o exemplo de uma loja em Lens

by Gilles Laferté

Una metodología para la cuantificación del riesgo de crédito de un portafolio de consumo en Colombia

by Hernando Bayona Rodríguez

En este artículo se desarrolla un modelo de Mixtura de Poisson (MP) que permite calcular, de manera directa a través... more En este artículo se desarrolla un modelo de Mixtura de Poisson (MP) que permite calcular, de manera directa a través de una recursión, la distribución de la pérdida de una cartera de crédito y de esta manera estimar las principales medidas de riesgo tales como Pérdida Esperada (PE), Valor en Riesgo (VaR) y Valor en Riesgo Condicional (cVaR) o ES. Esta metodología permite incorporar variables macroeconómicas como factores de riesgo sistémico y de esta manera mejorar la predicción del modelo.
Con el fin de construir un índice de riesgo y emplear este índice como factor de riesgo en el modelo de Mixtura de Poisson, se utilizó la metodología de componentes principales para condensar las variables macroeconómicas que afectan el riesgo de crédito, particularmente el riesgo de crédito de consumo, esta contribución permite disminuir de manera signicativa el trabajo computacional requerido en la recursión del modelo MP.
Finalmente y a manera de ilustración, se calculan las medidas de riesgo PE y el cVaR de la cartera de crédito de consumo de una entidad del sector real utilizando el modelo MP. En este ejercicio se hacen dos corridas del modelo, la primera sin emplear el índice de riesgo y la segunda empleándolo, este ejercicio mostró un aumento importante tanto en la PE como en el cVaR.

Palabras Claves: Riesgo de crédito de consumo, Valor en Riesgo (VaR), Valor en Riesgo Condicional (cVaR), Pérdida Esperada (PE).