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Karol Przanowski

Publications and source records attributed to Karol Przanowski.

7 recordsLinked to original sources
arXiv2014

Credit acceptance process strategy case studies - the power of Credit Scoring

The paper is aware of the importance of certain figures that are essential to an understanding of Credit Scoring models in credit acceptance process optimization, namely if the power of discrimination measured by Gini value is increased by 5% then the profit of the process can be increased monthly by about 1 500 kPLN (300 kGBP, 500 kUSD, 350 kEUR). Simple business models of credit loans are also presented: acquisition - installment loan (low price) and cross-sell - cash loans (high price). Scoring models are used to optimize process, to become profitable. Various acceptance strategies with different cutoffs are presented, some are profitable and some are not. Moreover, in a time of prosperity some are preferable whilst the inverse is true during a period of high risk or crisis. To optimize the process four models are employed: three risk models, to predict the probability of default and one typical propensity model to predict the probability of response. It is a simple but very important example of the Customer Lifetime Value (CLTV or CLV) model business, where risk and response models are working together to become a profitable process.

q-fin.PM↗
arXiv2012

Consumer finance data generator - a new approach to Credit Scoring technique comparison

This paper aims to present a general idea of method comparison of Credit Scoring techniques. Any scorecard can be made in various methods based on variable transformations in the logistic regression model. To make a comparison and come up with the proof that one technique is better than another is a big challenge due to the limited availability of data. The same conclusion cannot be guaranteed when using other data from another source. The following research challenge can therefore be formulated: how should the comparison be managed in order to get general results that are not biased by particular data? The solution may be in the use of various random data generators. The data generator uses two approaches: transition matrix and scorings. Here are presented both: results of comparison methods and the methodology of these comparison techniques creating. Before building a new model the modeler can undertake a comparison exercise that aims at identifying the best method in the case of the particular data. Here are presented various measures of predictive model like: Gini, Delta Gini, VIF and Max p-value, emphasizing the multi-criteria problem of a "Good model". The idea that is being suggested is of particular use in the model building process where there are defined complex criteria trying to cover the important problems of model stability over a period of time, in order to avoid a crisis. Some arguments for choosing Logit or WOE approach as the best scorecard technique are presented.

q-fin.ST↗
arXiv2011

Banking retail consumer finance data generator - credit scoring data repository

This paper presents two cases of random banking data generators based on migration matrices and scoring rules. The banking data generator is a new hope in researches of finding the proving method of comparisons of various credit scoring techniques. There is analyzed the influence of one cyclic macro--economic variable on stability in the time account and client characteristics. Data are very useful for various analyses to understand in the better way the complexity of the banking processes and also for students and their researches. There are presented very interesting conclusions for crisis behavior, namely that if a crisis is impacted by many factors, both customer characteristics: application and behavioral; then there is very difficult to indicate these factors in the typical scoring analysis and the crisis is everywhere, in every kind of risk reports.

q-fin.RM↗
arXiv1996

The bicovariant differential calculus on the kappa-Poincare and kappa-Weyl groups

The bicovariant differential calculus on fourdimensional kappa-Poincare group and corresponding Lie-algebra like structure for any metric tensor are described. The bicovariant differential calculus on four-dimensional kappa-Weyl group and corresponding Lie-algebra like structure for any matric tensor in the reference frame in which $g_{00}=0$ are considered.

q-alg↗