A comparison of strategies to develop a customer default scoring model

dc.contributor.authorRINALDO ARTES
dc.contributor.authorPereira, Gustavo Henrique Araujo
dc.coverage.paisNão Informadopt_BR
dc.creatorPereira, Gustavo Henrique Araujo
dc.date.accessioned2022-08-15T14:43:45Z
dc.date.available2022-08-15T14:43:45Z
dc.date.issued2016
dc.description.notesTexto Completopt_BR
dc.description.otherBehavioural scoring models are generally used to estimate the probability that a customer of a financial institution who owns a credit product will default on this product in a fixed time horizon. However, one single customer usually purchases many credit products from an institution while behavioural scoring models generally treat each of these products independently. In order to make credit risk management easier and more efficient, it is interesting to develop customer default scoring models. These models estimate the probability that a customer of a certain financial institution will have credit issues with at least one product in a fixed time horizon. In this study, three strategies to develop customer default scoring models are described. One of the strategies is regularly utilized by financial institutions and the other two will be proposed herein. The performance of these strategies is compared by means of an actual data bank supplied by a financial institution and a Monte Carlo simulation study.pt_BR
dc.format.extentp. 1341-1352pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1057/jors.2016.23pt_BR
dc.identifier.issn01605682pt_BR
dc.identifier.issn14769360pt_BR
dc.identifier.issue11pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/3988
dc.identifier.volume67pt_BR
dc.language.isoInglêspt_BR
dc.publisherPalgravept_BR
dc.relation.ispartofJournal of the Operational Research Societypt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordscredit scoringpt_BR
dc.subject.keywordscustomer scoringpt_BR
dc.subject.keywordsgeneralized estimating equationspt_BR
dc.subject.keywordslogistic regressionpt_BR
dc.subject.keywordscredit riskpt_BR
dc.titleA comparison of strategies to develop a customer default scoring modelpt_BR
dc.typejournal article
dspace.entity.typePublication
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication8b791c94-f3e5-4e04-af26-594195a8f576
relation.isAuthorOfPublication.latestForDiscovery8b791c94-f3e5-4e04-af26-594195a8f576
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