Credit scoring models with truncated samples and their validation

Working papers | 2006 | N 4

Abstract

The main objective of this work is to develop a credit scoring methodology for commercial bank debtors in Argentina, based on information available in the Central Debtors ("CD") as a reference tool to evaluate credit risk in local banks. Previous experience in this field has shown promising results. In this work we focus on two innovative aspects: first, the potential bias introduced by the fact that a considerable number of debtors are removed from the database without the reason being known, and second, the application of validation techniques to the models obtained, following the proposals of a document recently published by the BCBS.

JEL classification: C53, E37