Credit scoring models: The lack of information and the use of data from a credit bureau

Working papers | 2008 | N 37

Abstract

The main objective of this work is to study the problem introduced by the lack of credit behavior information for some debtors in the databases used to develop credit scoring models and the use of behavioral information contained in a risk center as a potential solution. Two problems are addressed (i) the need to provide an estimate of the credit risk of debtors whose behavior is unknown (because they are removed from the databases without the reason being recorded), and (ii) the estimation of the impact of not take into account the lack of this data in the risk assessment of the entities' portfolios. The fundamental strategy will be to use the credit behavior of debtors in other entities, registered in the risk center.