John Banasik

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Many researchers see the need for reject inference in credit scoring models to come from a sample selection problem whereby a missing variable results in omitted variable bias. Alternatively, practitioners often see the problem as one of missing data where the relationship in the new model is biased because the behaviour of the omitted cases differs from(More)
We model aggregate delinquency behaviour for consumer credit (including credit card loans and other consumer loans) and for residential real estate loans using data up until 2008. We test for cointegrating relationships and then estimate short run error correction models.We find evidence to support the portfolio explanations of declines in credit quality(More)
The literature suggests that the commonly used augmentation method of reject inference does little to alter the ranking performance of application scorecards, but is does improve the ability to detect an appropriate cutoff score. In this paper we examine whether the use of augmentation will improve the ranking of applicants in terms of default for various(More)
This paper aims to discover whether the predictive accuracy of a new applicant scoring model for a credit card can be improved by estimating separate scoring models for applicants who are predicted to have high or low usage of the card. Two models are estimated. First we estimate a model to explain the desired usage of a card, and second we estimate(More)
General rights Copyright for the publications made accessible via the Edinburgh Research Explorer is retained by the author(s) and / or other copyright owners and it is a condition of accessing these publications that users recognise and abide by the legal requirements associated with these rights. Take down policy The University of Edinburgh has made every(More)
Credit scoring models are normally built using only applicants who have been previously accepted for credit. Such non-random sample selection may produce bias in estimated model parameters and accordingly model predictions of repayment performance may not be optimal. Previous empirical research suggests that omission of rejected applicants has a detrimental(More)
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