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credit score model

Hi,
I am assigned a project of building a credit score model for my company which currenly pays up to nearly a million dollars annually to DnB for their credit model. Could anyone share with me the kinds of techniques available to build a credit score model? We currently have SAS/STAT in house and I would start by using Logistic Regression to build a model. What other data mining techniques are available out there that compete with logistic regression? Thanks a lot.

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Permalink Reply by John Martin Dervå on November 27, 2009 at 4:07am: Hi, we have experienced Boosting trees giving a better gain than Logistic Regression.
Best regards
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Permalink Reply by Phil on November 28, 2009 at 3:00am: Hi,

You might want to check out the following, which was a credit risk scorecard building competiton.

http://sede.neurotech.com.br:443/PAKDD2009/

There are reports you can download form the competitors.

You will find my teams entry top of the leaderboard and 4th overall in the results. I would say it is neither the data nor the software that is the key, but the experience and dilligence of the person building the model.

If it is the first time you are building a model I would recommend getting a third party to also build a model, just to check you're in the right ball park.

If you want me to help you out then I am more than willing and you'll get quite a bit of change out of $1million! I used to build credit risk models for an Australian Bank and have developed some pretty user friendly model building software to help you out that integrates seamlessly with SAS.

Phil Brierley
http://www.tiberius.biz; ▶ Reply to This

Permalink Reply by Mian Khaliq Ur Rehman on December 14, 2009 at 5:31am: Hello Phil,

I hope you are doing good. I am writing you after reading your reply to Mr Yun. Well My department is also working on Score Card development for retail clients. I need some guidance from you as it’s appeared from your reply that you are so helpful to others. My query is can you share any working of scorecard or any report which includes the complete steps that how to construct it. I have gone throung couple of books but i want see any practicle working of it. I would wait for positive response.

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Permalink Reply by Phil on December 17, 2009 at 8:48am: Hi Mian,

For a start I would say use the data in the competition I mentioned and see if you can get the accuracy other achieved. There is no real 'book' I would recommend on how to do it well, it is more a matter of experience, which comes with practice.

How you eventually do it depends more on 'internal' restrictions rather than 'external' algorithms. For example, how are the scorecards going to be implemented? do they depend on legacy systems such as TRIAD

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