Measuring scorecard performance

Abstract

In this paper, we look at ways to measure the classification performance of a scoring system and the overall characteristics of a scorecard. We stick to the idea that we will measure the scoring system by how well it classifies, which are still problems in measuring its performance. This is because there are different ways to define the misclassification rate mainly due to the sample that we use to check this rate. If we test how good the system is on the sample of customers we used to build the system, the results will be better than that we did the test on another sample. This idea is illustrated in this paper. Two measures, Mahalanobis distance and KS score, are used in the paper. © Springer-Verlag Berlin Heidelberg 2004.