The New Age of Credit Scoring and Decisioning
The New Age of Credit Scoring and Decisioning
Pattern structures allow one to approach the knowledge extraction problem in case of arbitrary object descriptions. They provide the way to apply Formal Concept Analysis (FCA) techniques to non-binary contexts. However, in order to produce classification rules a concept lattice should be built. For non-binary contexts this procedure may take much time and resources. In order to tackle this problem, we introduce a modication of the lazy associative classification algorithm and apply it to credit scoring. The resulting quality of classification is compared to existing methods adopted in bank systems.
This work discusses a possibility to assess the probability of company default using system dynamic model. This approach is based on Monte Carlo Simulation with various inputs for a system dynamic model. The results are compared with the estimations of rating agencies.
Most of existing scoring systems are based on binary choice models with sample selection. This setting does not allow for up-to-date information about loans to be used and a lot of observations becomes lost. In the paper a model of binary choice with sample selection is extended to the case of many periods. This extension allows for defaults to be modeled for each period that solves the problem of lost observations. This setting also can be used to estimate the effectiveness of existing scoring system of a bank. The model is estimated using data granted by one of commercial banks of Nizhny Novgorod. Sample consists of observations from January 2009 to March 2012.
This work focuses on the development of system dynamic credit risk model of the company “Bashneft”, which is a major representative of oil refining and oil producing industries.
The author intends to explore possibility of using system dynamics to build models describing production process and financial condition for a company which deals with petroleum refining industry sector. Special attention is paid to how the behavior of such macroeconomic factors as oil prices and oil products prices (on global and Russian markets), US dollar rate, MosPrime rate (this is the National Foreign Exchange Association (NFEA) fixing of reference rate based on the offer rates of Russian Ruble deposits as quoted by Contributor Banks) and tax system (mineral extraction tax, export duties, petroleum products domestic excise tax) influence on the company.
This article includes an empirical research of the impact of the macroeconomic factors and the credit risk management policy choice on the financial standing of the borrower in the period of the financial instability. The author analyses the credit risk management practice in the period of the global financial crisis and highlights significant aspects of the credit risk management influence in terms of further economic growth necessity.
The given paper proposes a method to assess credit worthiness based on a continuous scale. This method in contrast to current methods that rely on a binary scale such as bad/good credit uses aggregated randomized indices. Its application may have certain practical benifits in real life, e.g. assessing the individual loan price of a particular person rather than setting a standard loan price for clients. The credit scoring model is based on set of private borrowers information that can be converted into quality function corresponding to a weighting coefficient. These weighting coefficients and quality functions then can be used to compute the quality of credit score on a continuous scale. Results based on data from German credit base have showed the feasibility of the approach. It was found that results of credit scoring with a different scales can not be correctly compared by probability of well classified borrowers.
Analysis of existing methods of evaluation of outsourcing effectiveness for enterprises-customers demonstrates that these methods cannot be used as a tool of decision making concerning outsourcing choosing in the gas and oil industry. New algorithm of evaluation of outsourcing-based strategy is proposed. A computer-based version of suggested algorithm is considered.
A model for organizing cargo transportation between two node stations connected by a railway line which contains a certain number of intermediate stations is considered. The movement of cargo is in one direction. Such a situation may occur, for example, if one of the node stations is located in a region which produce raw material for manufacturing industry located in another region, and there is another node station. The organization of freight traﬃc is performed by means of a number of technologies. These technologies determine the rules for taking on cargo at the initial node station, the rules of interaction between neighboring stations, as well as the rule of distribution of cargo to the ﬁnal node stations. The process of cargo transportation is followed by the set rule of control. For such a model, one must determine possible modes of cargo transportation and describe their properties. This model is described by a ﬁnite-dimensional system of diﬀerential equations with nonlocal linear restrictions. The class of the solution satisfying nonlocal linear restrictions is extremely narrow. It results in the need for the “correct” extension of solutions of a system of diﬀerential equations to a class of quasi-solutions having the distinctive feature of gaps in a countable number of points. It was possible numerically using the Runge–Kutta method of the fourth order to build these quasi-solutions and determine their rate of growth. Let us note that in the technical plan the main complexity consisted in obtaining quasi-solutions satisfying the nonlocal linear restrictions. Furthermore, we investigated the dependence of quasi-solutions and, in particular, sizes of gaps (jumps) of solutions on a number of parameters of the model characterizing a rule of control, technologies for transportation of cargo and intensity of giving of cargo on a node station.
Event logs collected by modern information and technical systems usually contain enough data for automated process models discovery. A variety of algorithms was developed for process models discovery, conformance checking, log to model alignment, comparison of process models, etc., nevertheless a quick analysis of ad-hoc selected parts of a journal still have not get a full-fledged implementation. This paper describes an ROLAP-based method of multidimensional event logs storage for process mining. The result of the analysis of the journal is visualized as directed graph representing the union of all possible event sequences, ranked by their occurrence probability. Our implementation allows the analyst to discover process models for sublogs defined by ad-hoc selection of criteria and value of occurrence probability
The geographic information system (GIS) is based on the first and only Russian Imperial Census of 1897 and the First All-Union Census of the Soviet Union of 1926. The GIS features vector data (shapefiles) of allprovinces of the two states. For the 1897 census, there is information about linguistic, religious, and social estate groups. The part based on the 1926 census features nationality. Both shapefiles include information on gender, rural and urban population. The GIS allows for producing any necessary maps for individual studies of the period which require the administrative boundaries and demographic information.
Existing approaches suggest that IT strategy should be a reflection of business strategy. However, actually organisations do not often follow business strategy even if it is formally declared. In these conditions, IT strategy can be viewed not as a plan, but as an organisational shared view on the role of information systems. This approach generally reflects only a top-down perspective of IT strategy. So, it can be supplemented by a strategic behaviour pattern (i.e., more or less standard response to a changes that is formed as result of previous experience) to implement bottom-up approach. Two components that can help to establish effective reaction regarding new initiatives in IT are proposed here: model of IT-related decision making, and efficiency measurement metric to estimate maturity of business processes and appropriate IT. Usage of proposed tools is demonstrated in practical cases.