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- W150992720 abstract "Propensity scorecards allow forecasting, which bank customers will soon be interested in new credits, through assessing their willingness to make application for new loans. Such scoring models are considered efficient tools to select customers for bank marketing campaigns. Whittaker, Whitehead and Somers in their 2007 JORS paper present a new scorecard monitoring technique, which is derived from Kalman filtering. They demonstrate it for a logistic regression model estimated using the ML method, and illustrate it with an example of a dynamic mortgage scorecard. In this presentation the same technique is used but a presented approach is more general: there are assumptions neither on the scoring model specification nor on the estimation method (a common problem in practice, while using commercial software). As the estimator features are unknown, the estimator covariance is derived from the bootstrap. The focus is on a relationship between the score and the log odds for that score. That relationship is used to determine the propensity level of a customer. The log odds estimate, which represents the propensity level provided that the baseline scorecard is still up-to-date, is compared with the estimate calculated using the relationship between the updated score and the log odds. That comparison allows controlling whether the scorecard is in fact up-to-date in terms of assigning the odds. As an example a propensity scorecard is used, developed and updated based on credit bureau data. The presented example demonstrates that a scorecard may become less up-to-date, although its performance measures such as the Gini coefficient or the KS statistic do not change considerably. Using a deteriorated scorecard may result in wrong business decisions, especially in case of a cutoff determined on the basis of a relationship between the score and the log odds for that score. Therefore, it is important to monitor that relationship carefully" @default.
- W150992720 created "2016-06-24" @default.
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- W150992720 date "2009-01-01" @default.
- W150992720 modified "2023-09-27" @default.
- W150992720 title "Monitoring relationship between score and odds in a propensity scorecard" @default.
- W150992720 hasPublicationYear "2009" @default.
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