Despite the fact that the topic of predictive scoring models building is often considered in articles and it was written not one book about it, many things remain out of sight. An attempt to consider some of interesting questions will be made in the presentation. It will be practical ways which help to answer on such questions as: how to estimate the maximum Gini before the start of the model building; how we could add non-maturing loans in likelihood error function; one additional way how we could estimate overfitting and how we can understand need we separate Fraud Prevention Model or not.
Alexey Pogrebnyak is a head of Decision Science department in financial startup Finstar which was launched in APAC two years ago. Alexey graduated from Moscow State University, with a specialization in high energy physics.