DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Sung, Chang-Sup | - |
dc.contributor.advisor | 성창섭 | - |
dc.contributor.author | Lee, Sung-Wook | - |
dc.contributor.author | 이성욱 | - |
dc.date.accessioned | 2011-12-14T04:21:52Z | - |
dc.date.available | 2011-12-14T04:21:52Z | - |
dc.date.issued | 2002 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=173956&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/41648 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 산업공학과, 2002.2, [ vi, 41 p. ] | - |
dc.description.abstract | This thesis proposes a two-phase mathematical programming approach by considering classification gap to solve the proposed credit scoring problem so as to complement any theoretical shortcomings. Specifically, by using the linear programming (LP) approach, phase I is to make the associated decisions such as issuing grant of credit or denial of credit to applicants, or to seek any additional information before making the final decision. Phase 2 is to find a cut-off value, which minimizes any misclassification penalty (cost) to be incurred due to granting credit to `bad`` loan applicant or denying credit to `good`` loan applicant by using the mixed-integer programming (MIP) approach. This approach is expected to find appropriate classification scores and a cut-off value with respect to deviation and misclassification cost, respectively. Statistical discriminant analysis methods have been commonly considered to deal with classification problems for credit scoring. In recent years, much theoretical research has focused on the application of mathematical programming techniques to the discriminant problems. It has been reported that mathematical programming techniques could outperform statistical discriminant techniques in some applications, while mathematical programming techniques may suffer from some theoretical shortcomings. The performance of the proposed two-phase approach is evaluated in this thesis with firm data and loan applicants data, by comparing with three other approaches including Fisher``s linear discriminant function, logistic regression and some other existing mathematical programming approaches, which are considered as the performance benchmarks. The evaluation results show that the proposed two-phase mathematical programming approach outperforms the aforementioned statistical approaches. In some cases, two-phase mathematical programming approach marginally outperforms both the statistical approaches and the other existing mathematical programming... | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Credit Scoring | - |
dc.subject | Mathematical Programming | - |
dc.subject | 수리계획법 | - |
dc.subject | 신용평점모델 | - |
dc.title | Credit score modeling in a two-phase mathematical programming approach | - |
dc.title.alternative | 두 단계 수리계획 접근법에 의한 신용평점 모델 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 173956/325007 | - |
dc.description.department | 한국과학기술원 : 산업공학과, | - |
dc.identifier.uid | 020003391 | - |
dc.contributor.localauthor | Sung, Chang-Sup | - |
dc.contributor.localauthor | 성창섭 | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.