سود اقتصادی امتیازدهی اعتباری قدرتمند
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|48607||2006||23 صفحه PDF||سفارش دهید||9662 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Banking & Finance, Volume 30, Issue 3, March 2006, Pages 851–873
We study the economic benefits from using credit scoring models. We contribute to the literature by relating the discriminatory power of a credit scoring model to the optimal credit decision. Given the receiver operating characteristic (ROC) curve, we derive (a) the profit-maximizing cutoff and (b) the pricing curve. Using these two concepts and a mixture thereof, we study a stylized loan market model with banks differing in the quality of their credit scoring model. Even for small quality differences, the variation in profitability among lenders is large and economically significant. We end our analysis by quantifying the impact on profits when information leaks from a competitor’s scoring model into the market.