Скоринг в розничном кредитовании: распространенные ошибки и их стоимость

Финансы и бизнес. 2021. Т. 17. № 4. С. 3–17.

Маракуева М. А.

 

The article discusses the most common mistakes in banking practice when constructing scoring models for assessing the credit risk of individuals. For a detail description, we have selected the most significant ones from the point of view of generating retail profit. With the example of logistic regression we show how much the price of each of the described mistakes. We propose some solutions to avoid common mistakes and losses of the bank when using scoring models. The article can be useful for employees of credit institutions, both those involved in building models, and middle and senior managers.

Keywords: кредитный риск, кредитный скоринг, скоринговая модель, внутренний кредитный рейтинг, банковские кредитные решения, кредитная политика банка, credit risk assessment model, credit risk models, Bank credit decisions, модельный риск, score calibration, credit risk, model risk, Accuracy score, скоринговая оценка, стоимость ошибки скоринга, модель оценки кредитного риска