Capacidade preditiva de Modelos Credit Scoring em inferência dos rejeitados

• Ano de defesa: 2014
• Autor(a) principal: Prazeres Filho, Jurandir
• Orientador(a): Louzada Neto, Francisco
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de São Carlos
• Programa de Pós-Graduação: Programa de Pós-Graduação em Estatística - PPGEs
• País: BR
• Palavras-chave em Português: Análise de regressão; Modelos estatísticos; Inferência dos rejeitados
• Palavras-chave em Inglês: Models; Risk; Credit Scoring; Inference of rejected
• Área do conhecimento CNPq: CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA::ESTATISTICA
• Link de acesso: https://repositorio.ufscar.br/handle/ufscar/4583

Granting credit to an applicant is a decision made in a context of uncertainty. At the moment the lender decides to grant a loan or credit sale there is always the possibility of loss, and, if it is associated with a probability, the decision to grant or not credit will be more reliable. In order to aid the decision to accept or not the request for applicants are used the credit scoring models, which estimate the probability of loss associated with granting credit. But one of the problems involving these models is that only information about the applicants accepted are used, which causes a sampling bias, because the rejected applicants are discarded. With the aim to solve this problem it can use rejected inference, which are considered individuals who have had credit application rejected. However, only considering rejected inference and one method of modeling data, usually, is not sufficient to get satisfactory predictive measures, and thus, were used combined results of three methods, logistic regression, analysis probit and decision tree. The purpose of this combination were to increase the predictive perfomance and the metrics used were sensitivity, specificity , positive predictive value, negative predictive value and accuracy. Through the application in data sets we concluded that the use of the combined results increased the predictive performance, specially regarding to sensitivity.