The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
권호 표지
DOI QR코드

DOI QR Code

Credit Scoring Using Splines

스플라인을 이용한 신용 평점화

  • Koo Ja-Yong (Department of Statistics, Korea University) ;
  • Choi Daewoo (Department of Statistics, Hankuk University of Foreign Studies) ;
  • Choi Min-Sung (Credit Management Team, Lotte Card)
  • 구자용 (고려대학교) ;
  • 최대우 (한국외국어대학교 자연과학대학 정보통계학과) ;
  • 최민성 (롯데카드 신용관리팀)
  • Published : 2005.11.01
Download PDF
⟨ Previous Next ⟩

Abstract

Linear logistic regression is one of the most widely used method for credit scoring in credit risk management. This paper deals with credit scoring using splines based on Logistic regression. Linear splines and an automatic basis selection algorithm are adopted. The final model is an example of the generalized additive model. A simulation using a real data set is used to illustrate the performance of the spline method.

선형 로지스틱 모형은 신용위험 관리를 위한 신용평점 모형 구축에 있어서 널리 쓰이고 있는 방법론이다. 본 논문에서는 신용평점화를 위하여 로지스틱 회귀 방법에 기초한 스플라인 방법론을 다루고자 한다. 선형 스플라인과 자동적인 변수선택 방법을 채택하였다. 모의 실험을 통하여 스플라인 방법의 성능을 규명하였다.

Keywords

References

  1. 구자용, 박헌진 및 최대우 (2000). 데이터 마이닝에서의 폴리클라스, <응용통계연구>, 13, 489-504
  2. 구자용 (2000). 기저함수 방법론. 추계학술대회 초청강연
  3. 이명식 (1999). 금융마케팅에서 고객평점제도의 효과성, <한국마케팅저널>, 1, 56-76
  4. Bellman, R. E. (1961). Adaptive Control Processes, Princeton University Press
  5. Breiman, L. (1993). Fitting additive models to data, Computational Statistics and Data Analysis, 15, 13-46 https://doi.org/10.1016/0167-9473(93)90217-H
  6. Friedman, J. H. & Silverman, B. W. (1989). Flexible parsimonious smoothing and additive modeling (with discussion), Technometrics, 31, 3-39 https://doi.org/10.2307/1270359
  7. Koo J. - Y. & Kooperberg, C. (2005). Quantile multivariate regression spline, Manuscript in preparation
  8. Kooperberg, C., Bose, S. & Stone, C. J. (1997). Polychotomous regression, Journal of The American Statistical Association, 92, 117-127 https://doi.org/10.2307/2291455
  9. Hastie T. J. & Tibshirani, R. J. (1990). Generalized additive models, Chapman and Hall, London
  10. Stone, C. J. (1985). Additive regression and other nonparametric models, The Annals of Statistics, 13, 689-705 https://doi.org/10.1214/aos/1176349548
  11. Stone, C. J. (1986). The dimensionality reduction principle for generalized additive models, The Annals of Statistics, 14, 590-606 https://doi.org/10.1214/aos/1176349940
  12. Stone, C. J. & Koo, C. -Y. (1986). Additive spline in statistics, In Proceedings of the Statistical Computing Section, 45-48, American Statistical Association, Washington, DC
  13. Thomas L. C., D. B. & Crook J. N. (2002). Credit scoring and its applications, SIAM, Philadelphia