Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs

Keywords

Receiver operating characteristic, Monte Carlo method, Credit rating, Credit risk, Line (geometry)

References

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• The relationship between default prediction and lending profits: Integrating ROC analysis and loan pricingRoger M. Stein — 2005
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• Optimal Threshold from ROC and CAP CurvesChong Sun Hong — 2009
• Random Survival Forests Models for SME Credit Risk MeasurementSilvia Figini, Dean Fantazzini — 2009
• Scorecard construction with unbalanced class sizesVeronica Vinciotti, David J. Hand — 2003
• Logistic Regression in Rare Events DataGary King, Langche Zeng — 2001
• Statistical Classification Methods in Consumer Credit Scoring: a ReviewDavid J. Hand, William Henley — 1997

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