An experimental comparison of classification techniques in debt recoveries scoring: Evidence from South Africa's unsecured lending market
作者：
Highlights：
• GAM with a GEV link function outperforms standard credit scoring techniques.
• An outcome period between 3 and 12 months adequate for behavioural scoring.
• Widely used out-of-sample testing alone is misleading.
• Flawed AUC very similar to proposed alternative the H-measure.
• Implementation of GAM for recoveries scoring in a South African context presented.
摘要
•GAM with a GEV link function outperforms standard credit scoring techniques.•An outcome period between 3 and 12 months adequate for behavioural scoring.•Widely used out-of-sample testing alone is misleading.•Flawed AUC very similar to proposed alternative the H-measure.•Implementation of GAM for recoveries scoring in a South African context presented.
论文关键词：Behavioural scoring,Classification techniques,South Africa,Recoveries,Credit risk
论文评审过程：Received 31 May 2017, Revised 3 January 2018, Accepted 19 February 2018, Available online 23 February 2018, Version of Record 29 July 2018.
论文官网地址：https://doi.org/10.1016/j.eswa.2018.02.030
