The construction of empirical credit scoring rules based on maximization principles

DOI10.1016/J.JECONOM.2009.10.028zbMath1431.62647OpenAlexW2163171248MaRDI QIDQ530979

Halbert White, Robert P. Lieli

Publication date: 1 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.028

zbMATH Keywords

profit maximizationcredit scoringbinary variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (2)

Best subset binary prediction ⋮ Using the area under an estimated ROC curve to test the adequacy of binary predictors

Uses Software

• simannf90

Cites Work

• Global optimization of statistical functions with simulated annealing
• Predicting binary outcomes
• Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
• Maximum score estimation of the stochastic utility model of choice
• Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here
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