• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Book chapter
  • Parametric methods for precision calibration of scoring models
  • RU
  • EN
Расширенный поиск
Высшая школа экономики
Национальный исследовательский университет
Priority areas
  • business informatics
  • economics
  • engineering science
  • humanitarian
  • IT and mathematics
  • law
  • management
  • mathematics
  • sociology
  • state and public administration
by year
  • 2028
  • 2027
  • 2026
  • 2025
  • 2024
  • 2023
  • 2022
  • 2021
  • 2020
  • 2019
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • 2013
  • 2012
  • 2011
  • 2010
  • 2009
  • 2008
  • 2007
  • 2006
  • 2005
  • 2004
  • 2003
  • 2002
  • 2001
  • 2000
  • 1999
  • 1998
  • 1997
  • 1996
  • 1995
  • 1994
  • 1993
  • 1992
  • 1991
  • 1990
  • 1989
  • 1988
  • 1987
  • 1986
  • 1985
  • 1984
  • 1983
  • 1982
  • 1981
  • 1980
  • 1979
  • 1978
  • 1977
  • 1976
  • 1975
  • 1974
  • 1973
  • 1972
  • 1971
  • 1970
  • 1969
  • 1968
  • 1967
  • 1966
  • 1965
  • 1964
  • 1963
  • 1958
  • More
Subject
News
September 11, 2026
How to Assess Students Knowledge in the Age of AI
A researcher at HSE University has proposed a flowchart to help lecturers decide how to assess students who use artificial intelligence. It shows where the use of AI should be restricted and where it can be incorporated into the learning process. The article has been published in IT Professional.
September 9, 2026
‘Balkan Hospitality Opens Doors: Studying Dialects on the Verge of Extinction
You cannot study spoken dialects from books. Instead, you need to go to a village, seek out its elders, and earn the trust of local residents before you can record hours of spontaneous stories. This is how Natalia Muravleva, Associate Professor at the Faculty of Humanities, conducts her research. Her internship in Serbia continued her long-standing study of dialects spoken by Macedonian settlers. In this interview, she discusses how diaspora cultural centres help researchers reach informants, why native speakers need to be interviewed only in their own language (otherwise, as she puts it, they may 'break'), and how a single field season helped her finalise her monograph. She also shares warm memories of autumn in Belgrade and of colleagues with whom grammar can be discussed in three languages at once.
September 9, 2026
Scientists Train Neural Network to Generate Process Plans from 3D Models
Researchers at the HSE FCS AI and Digital Science Institute have developed CAD2TechSpec, a framework that converts 3D models of mechanical parts into machining process plans—step-by-step instructions for machine tools. The solution aims to reduce the time required for the design and preparation of technical process documentation in mechanical engineering, aircraft manufacturing, and other high-tech industries. The study findings have been published in PeerJ Computer Science.

 

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!

Publications
  • Books
  • Articles
  • Chapters of books
  • Working papers
  • Report a publication
  • Research at HSE

?

Parametric methods for precision calibration of scoring models

P. 348–355.
Mikhail Pomazanov, Berezhnoy A.

Once a scoring model has been developed for use in assessing a borrower’s credit risk, under the internal ratings-based (IRB) approach, it must be calibrated to a real-world measure of default frequency. The conservativeness of the calibration is tightly controlled, if it is not violated in the allowed number of digits of the rating scale, only then the model is authorized for use. If violated, the calibration probability of default must be raised, placing additional strain on the bank’s capital and reserves. In the presented paper, two new methods to improve the calibration accuracy are proposed. The methods have been tested in practice and provide significantly positive results in certain segments of the loan portfolio.

Language: English
Full text
DOI
Text on another site
Keywords: probability of defaultcalibrationscoringGini indexROC curvediscrimination power

In book

Procedia Computer Science, Volume 242: 11th International Conference on Information Technology and Quantitative Management (ITQM 2024)
ScienceDirect, 2024.
Similar publications
Точность учебных целей и академическая успешность: панельное исследование на онлайн-курсе
Boitcov M., Adamovich K., Getman A. et al., Психологическая наука и образование 2026 Т. 31 № 2 С. 188–203
Goal setting is widely used in online education and is considered a factor contributing to student motivation and academic performance. However, existing research often overlooks how accurately students formulate their goals and how this accuracy relates to prior learning experience. This study investigates the relationship between goal-setting accuracy and academic performance, as well as the factors ...
Added: May 5, 2026
Использование машинного обучения и классических статистических методов для построения скоринговой модели в автостраховании
Mironkina Y., Тимофеев Д. И., В кн.: Математическое и компьютерное моделирование в экономике, страховании и управлении рисками: сборник статей. Выпуск 10. Материалы XIV Научно-практической конференции. Саратов, 20–22 ноября 2025 г.Вып. 10.: Саратов: Саратовский университет, 2025. С. 51–58.
In the field of auto insurance, one of the most pressing challenges is the problem of financial losses arising from the misclassification of clients in terms of the potential unprofitability of their insurance contracts. This study is devoted to the development of a scoring system based on machine learning and classical statistical methods, using portfolio data from a ...
Added: March 31, 2026
Подходы к оценке дефолтности рейтинговых шкал кредитных рейтинговых агентств
Ozerov K., Кутенко С. В., Деньги и кредит 2024 Т. 83 № 4 С. 98–118
Under limited data, the classical cohort method for the creation of migration matrices does not fully reflect the dynamics of the credit quality of the objects within the sample. This problem is exacerbated for objects of lower credit quality less represented in the sample. This paper investigates a continuous time approach to the creation of ...
Added: December 20, 2025
The Impact of Alternative Data on Default Probability: Analyzing the Italian E-commerce Sector with NLP and Network Structures
Bernhardt B. D., Marciano C., Guarracino M. R., Operations Research Forum 2025 Vol. 6 Article 47
E-commerce is a key sector in the Italian economy, with online companies becoming some of the largest and most profitable businesses. However, this growth comes with increased risk exposure. This study aims to investigate the relationship between alternative data (contextual factors, Text-Driven Data Enrichment) and the probability of default for Italian e-commerce companies. To date, ...
Added: September 6, 2025
Unsupervised Learning for Calorimeter Response Correction: A WGAN-Based Method
Ali S., Ryzhikov A., Derkach D. et al., , in: Computational Science and Its Applications – ICCSA 2025: 25th International Conference, Istanbul, Turkey, June 30 – July 3, 2025, Proceedings, Part IIIVol. 15650: Lecture Notes in Computer Science (LNCS).: Champaign: Springer, 2025. Ch. 24 P. 346–355.
The long-term stability of calorimeters is crucial in high-energy physics experiments, where precise energy measurements are essential for accurate particle reconstruction. This study introduces a Wasserstein GAN (WGAN)-based machine learning approach for calibrating calorimeter responses affected by aging and other systematic shifts. Our methodology is applied to realistic, high-granularity calorimeter data that more accurately mimic ...
Added: June 27, 2025
Региональный и субрегиональный аспекты доходного неравенства населения России
Sirotin V., Arkhipova M., Кириллова О. А., Финансы и бизнес 2025 Т. 21 № 4 С. 3–13
The article presents a model of the evolution of the latent regional structure of income inequality based on a two-component model of a mixture of probability distributions, which makes it possible to identify trends in changes in this area. The process of stratification of the regional structure of income inequality is analyzed, accompanied by an ...
Added: April 17, 2025
Calibrating for the Future: Enhancing Calorimeter Longevity with Deep Learning
Ali S., Ryzhikov A., Derkach D. et al., Moscow University Physics Bulletin 2024 Vol. 79 No. Suppl. 2 P. S591–S597
In the realm of high-energy physics, the longevity of calorimeters is paramount. Our research introduces a deep learning strategy to refine the calibration process of calorimeters used in particle physics experiments. We develop a Wasserstein GAN inspired methodology that adeptly calibrates the misalignment in calorimeter data due to aging or other factors. Leveraging the Wasserstein ...
Added: November 7, 2024
Определение минимального размера выборки для задачи экстраполяции резервов при наличии корреляции дефолтов
Penikas H. I., / Банк России. Серия доклады Банка России "Серия докладов об экономических исследованиях". 2024.
In 2016, the Bank of Russia developed two ordinances to set forth a procedure using a limited sample of loans to conclude whether the level of loss provisions in the portfolio of uniform loans is sufficient or not and whether the bank’s capital is adequate. The existing procedure of reserve sufficiency evaluation previews as a rule considering only a part of the loan portfolio and transfer (extrapolation) of the provision thus assessed for the overall portfolio. Moreover, the acting approach to define the minimum loan sample size assumes the absence of the default correlation. Author’s contribution ...
Added: June 1, 2024
Continuous transformation of nonmonotonic factors of the scoring model increasing its discriminating power
Mikhail Pomazanov, , in: Procedia Computer Science: Tenth International Conference on Information Technology and Quantitative Management (ITQM 2023)Vol. 221.: ScienceDirect, 2023. P. 237–244.
When developing scoring models, Weight of Evidence (WOE) transformation is actively used, which is in demand to improve the discriminating power of the factors included in the model. For WOE transformation, various binning methods are used, the dimension of which is limited by the available statistics. As an alternative, the method of continuous transformation of ...
Added: September 27, 2023
ЭМПИРИЧЕСКИЙ АНАЛИЗ ПРЕДЕЛЬНЫХ УРОВНЕЙ ДЕФОЛТА ДЛЯ ПРИЗНАНИЯ ПОДХОДА НА ОСНОВЕ ВНУТРЕННИХ РЕЙТИНГОВ СОМНИТЕЛЬНЫМ ПРИ ОЦЕНКЕ КРЕДИТНОГО РИСКА
Pomazanov M. V., Управление финансовыми рисками 2023 Т. 73 № 1 С. 18–29
The article examines the stability of indicators of rating models’ discriminatory power (in particular, Gini index) in the context of usefulness of Internal Ratings-Based Approach for credit risk assessment. The author considers the drop in discriminatory power, when it makes sense to abandon this approach, builds a macro model for predicting the Default Rate, and ...
Added: March 20, 2023
Second-order accuracy metrics for scoring models and their practical use
M. V. Pomazanov, , in: 9th International Conference on Information Technology and Quantitative ManagementIssue 214.: Elsevier, 2022. P. 565–572.
The paper proposes new second-order accuracy metrics for scoring/rating models, which show the target preference of the model - it is better to diagnose "good" objects or better to diagnose "bad" ones for a constant generally accepted predictive power determined by the first-order metric - the Gini index. Two metrics proposed, they have both an ...
Added: December 9, 2022
Validation of the effectiveness of the bank retail portfolio risk management procedure
Pomazanov M. V., , in: The 8th International Conference on Information Technology and Quantitative Management (ITQM 2020 & 2021): Developing Global Digital Economy after COVID-19Vol. 199: The 8th International Conference on Information Technology and Quantitative Management (ITQM 2020 & 2021): Developing Global Digital Economy after COVID-19.: Manchester: Elsevier, 2022. P. 798–805.
The article considers the issue of quantifying the quality of discrimination (approval) in the retail portfolio segments based on current statistical data on the level of refuse of customers who applied to the bank, the current level of defaults and market data (credit history bureaus). The analysis of the economic efficiency of the practiced level ...
Added: November 18, 2022
Risk Management Tools to Improve the Efficiency of Lending to Retail Segments
Pomazanov M. V., , in: Risk Management, Sustainability and Leadership.: L.: IntechOpen, 2022. Ch. 6.
This chapter discusses the issue of assessing the quality of risk management for a wide segment of retail lending (from consumer loans to loans for self-employed persons and SMEs). The quality of risk management is assessed using the generally recognized approach of the ROC analysis methodology and assessment of the optimal level of discrimination, taking ...
Added: November 16, 2022
Instantaneous turbulent kinetic energy modelling based on Lagrangian stochastic approach in CFD and application to wind energy
Bossy M., Jean-François Jabir, Rodríguez K. M., Journal of Computational Physics 2022 Vol. 464 Article 110929
We present the construction of an original stochastic model for the instantaneous turbulent kinetic energy at a given point of a flow, and we validate estimator methods on this model with observational data examples. Motivated by the need for wind energy industry of acquiring relevant statistical information of air motion at a local place, we ...
Added: November 8, 2022
Second-order accuracy metrics for scoring models and their practical use
Pomazanov M. V., / Series arXiv:2204.07989v1 "Risk Management (q-fin.RM)". 2022.
The paper proposes new second-order accuracy metrics for scoring or rating models, which show the target preference of the model, it is better to diagnose good objects or better to diagnose bad ones for a constant generally accepted predictive power determined by the first order metric that is known as the Gini index. There are ...
Added: October 26, 2022
  • About
  • About
  • Key Figures & Facts
  • Sustainability at HSE University
  • Faculties & Departments
  • International Partnerships
  • Faculty & Staff
  • HSE Buildings
  • HSE University for Persons with Disabilities
  • Public Enquiries
  • Studies
  • Admissions
  • Programme Catalogue
  • Undergraduate
  • Graduate
  • Exchange Programmes
  • Summer University
  • Summer Schools
  • Semester in Moscow
  • Business Internship
  • Research
  • International Laboratories
  • Research Centres
  • Research Projects
  • Monitoring Studies
  • Conferences & Seminars
  • Academic Jobs
  • Yasin (April) International Academic Conference on Economic and Social Development
  • Media & Resources
  • Publications by staff
  • HSE Journals
  • Publishing House
  • iq.hse.ru: commentary by HSE experts
  • Library
  • Economic & Social Data Archive
  • Video
  • HSE Repository of Socio-Economic Information
  • HSE1993–2026
  • Contacts
  • Copyright
  • Privacy Policy
  • Site Map
Edit