JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2014, Vol. 49 ›› Issue (12): 55-59.doi: 10.6040/j.issn.1671-9352.0.2014.269

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Weight of evidence method and credit risk control

GAN Xin-jun1, YANG Wei-qiang2   

  1. 1. School of Mathematics, Shandong University, Jinan 250100, Shandong, China;
    2. Institute for Financial Studies, Shandong University, Jinan 250100, Shandong, China
  • Received:2014-06-11 Revised:2014-11-07 Online:2014-12-20 Published:2014-12-20

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Abstract: The weight of evidence (WOE) method was adopted on the credit risk control in commercial bank and a full description of the algorithm was proposed. By employing this WOE approach on the real financial data of commercial bank, the risk control model was constructed such that the probability of default can be estimated more precisely. The significant advantages of WOE method over conventional methods were verified, especially in statistical power.

Key words: variable selection, probability of default, logistic regression, weight of evidence

CLC Number: 

  • O212.5
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