Scorecard Formula Guide

Making the World More Productive
Formula Guide
STATISTICA Scorecard
STATISTICA Scorecard is a comprehensive tool dedicated for developing, evaluating, and monitoring
scorecard models. For more information see TUTORIAL Developing Scorecards Using STATISTICA
Scorecard [4]. STATISTICA Scorecard is an add-in for STATISTICA Data Miner and on the computation
level is based on native STATISTICA algorithms such as: Logistic regression, Decision trees (CART and
CHAID), Factor analysis, Random forest and Cox regression. The document contains formulas and
algorithms that are beyond of the scope of the implemented natively in STATISTICA.
STATISTICA Formula Guide

Copyright 2013 Version 1
PAGE 1 OF 32
Contents
Feature selection ........................................................................................................................................ 5
Feature selection Cramers V ............................................................................................................... 6
Notation .................................................................................................................................................. 6
Computation Details ............................................................................................................................... 6
Feature selection (IV) Information Value ............................................................................................ 7
Notation .................................................................................................................................................. 7
Feature selection Gini .......................................................................................................................... 8
Interaction and Rules .................................................................................................................................. 9
Interaction and Rules Bad rate (and Good rate).................................................................................. 9
Notation ................................................................................................................................................ 10
Interaction and Rules Lift (bad) and Lift (good) ................................................................................. 11
Notation ................................................................................................................................................ 11
Attribute building ...................................................................................................................................... 12
Attribute building (WoE) Weight of Evidence ................................................................................... 12
Notation ................................................................................................................................................ 12
Computation Details ............................................................................................................................. 12
Scorecard preparation .............................................................................................................................. 13
Scorecard preparation Scaling Factor ............................................................................................. 13
Notation ................................................................................................................................................ 13
Scorecard preparation Scaling Offset ............................................................................................. 14
Notation ................................................................................................................................................ 14
Scorecard preparation Scaling Calculating score (WoE coding) ...................................................... 15
Notation ................................................................................................................................................ 15
Scorecard preparation Scaling Calculating score (Dummy coding) ................................................. 16
Notation ................................................................................................................................................ 16
Scorecard preparation Scaling Neutral score ................................................................................. 17
PAGE 2 OF 32
Notation ................................................................................................................................................ 17
Scorecard preparation Scaling Intercept adjustment ..................................................................... 18
Notation ................................................................................................................................................ 18
Survival ...................................................................................................................................................... 19
Reject Inference ........................................................................................................................................ 20
Reject Inference - Parceling method .................................................................................................... 20
Model evaluation ...................................................................................................................................... 21
Model evaluation Gini ........................................................................................................................ 21
Notation ................................................................................................................................................ 21
Model evaluation Information Value (IV) .......................................................................................... 21
Model evaluation - Divergence ............................................................................................................. 22
Notation ................................................................................................................................................ 22
Model evaluation Hosmer-Lemeshow ............................................................................................... 23
Notation ................................................................................................................................................ 23
Model evaluation Kolmogorov-Smirnov statistic .............................................................................. 24
Notation ................................................................................................................................................ 24
Comments ............................................................................................................................................. 24
Model evaluation AUC Area Under ROC Curve .............................................................................. 25
Notation ................................................................................................................................................ 25
Model evaluation 2x2 tables measures ............................................................................................. 26
Notation ................................................................................................................................................ 26
Cut-off point selection .............................................................................................................................. 27
Cut-off point selection ROC optimal cut-off point ............................................................................. 27
Notation ................................................................................................................................................ 27
Score cases ................................................................................................................................................ 28
Score cases Adjusting probabilities.................................................................................................... 28
Notation ................................................................................................................................................ 28
Calibration tests ........................................................................................................................................ 29

PAGE 3 OF 32

Population stability ................................................................................................................................... 30
Population stability ............................................................................................................................... 30
Notation ................................................................................................................................................ 30
Characteristic stability .......................................................................................................................... 31
Notation ................................................................................................................................................ 31
References ................................................................................................................................................ 32

PAGE 4 OF 32
Feature selection
The Feature Selection module is used to exclude unimportant or redundant variables from the initial
set of characteristics. Select representatives option enable you to identify redundancy among
numerical variables without analyzing the correlation matrix of all variables. This module creates
bundles of commonly correlated characteristics using Factor analysis with principal components
extraction method and optional factor rotation that is implemented as standard STATISTICA procedure.
Bundles of variables are created based on value of factor loadings (correlation between given variable
and particular factor score) User can set the option defining minimal absolute value of loading that
makes given variable representative of particular factor. Number of components is defined based on
eingenvalue or max factors option. If categorical predictors are selected before factor calculation
variables are recoded using WoE (log odds) transformation (described in the Attribute Building
chapter).
In each bundle, variables are highly correlated with the same factor (in other words have high absolute
value of factor loading) and often with each other, so we can easily select only a small number of
bundle representatives. After bundles are identified user can manually or automatically select
representatives of each bundle. In case of automatic selection user can select correlation option that
allows selecting variables with the highest correlation with other variables in given bundle. The other
option is IV criterion (described below).
Variable rankings can be created using three measures of overall predictive power of variables: IV
(Information Value), Cramers V, and the Gini coefficient. Based on these measures, you can identify
the characteristics that have an important impact on credit risk and select them for the next stage of
model development. For more information see TUTORIAL Developing Scorecards Using STATISTICA
Scorecard [4].

PAGE 5 OF 32
Feature selection Cramers V

Cramers V is the measure of correlation for categorical (nominal) characteristics. This
measure varies form 0 (no correlation) to 1 (ideal correlation) and can be formulated as:
V=
2
n min(w 1, k 1)
, in case of dichotomous dependent variable the formula is
simplified and can be expressed as V =
2
n
Notation
Where:
2
chi square statistics
Number of cases of analyzed dataset
Number of categories of dependent variable
Number of categories of predictor variable
Computation Details
Note: All continuous predictors are categorized (using by default 10 equipotent categories).
Missing data or value marked by user as atypical are considered as separate category.

PAGE 6 OF 32
Feature selection (IV) Information Value

Information Value is an indicator of the overall predictive power of the characteristic. We
k
g
can compute this measure as: IV = (gi bi ) ln i 100
bi
i =1
Notation
Where:
k
number of bins (attributes) of analyzed predictor
gi
column-wise percentage distribution of the total good cases in the ith bin
bi
column-wise percentage distribution of the total bad cases in the ith bin
Computation Details

PAGE 7 OF 32
Feature selection Gini

Gini coefficient equals Somers D statistics calculated as standard STATISTICA procedure (see
STATISTICA Tables and Banners).
Computation Details

PAGE 8 OF 32
Interaction and Rules

Interaction and rules performs standard logistic regression with interactions (Interaction rank option)
and standard Random Forest analysis (Rules option). In the Random forest Rules generator window
there are three measures allowing to assess the strength of extracted rules Bad rate, Lift(bad) and Lift
(good)
In the Interactions and rules module, you can identify rules of credit risk which may be of specific
interest and also perform interaction ranking based on logistic regression and likelihood ratio tests.
Logistic regression option checks all interactions between pairs of variables. For each pair of variables
logistic regression model is built that includes such variables and interaction between them.
For each model standard STATISTICA likelihood ratio test is calculated comparing models with and
without interaction term. Based on results (p value), the program displays interactions rank.
Using the standard STATISTICA Random Forest algorithm, rules of credit risk can be developed. Each
terminal node in each random forest tree creates rule that is displayed for user. Based on calculated
values of lift, frequency or bad rate user can select set of interesting nad valuable rules. For more
information see TUTORIAL Developing Scorecards Using STATISTICA Scorecard [4].
Interaction and Rules Bad rate (and Good rate)

Bad rate shows what percent of cases that meet given rule belongs to a group of bad:
n
BR = bad . We can also define complementary measure Good rate (not included in the
ntotal
program interface but useful to clarify the other measures) that shows what percent of
n
cases that meet given rule belongs to a group of good GR = good
ntotal

PAGE 9 OF 32
Notation
Where:
nbad
number of bad cases that meet given rule
ngood
number of good cases that meet given rule
ntotal
total number of cases that meet given rule

PAGE 10 OF 32
Interaction and Rules Lift (bad) and Lift (good)

You can calculate Lift (bad) as a ratio between bad rate calculated for a subset of cases
that meet given rule and bad rate for the whole dataset. We can express Lift(bad) using
BRRule
the following formula: Lift (bad ) =
.
BRDataset
You can calculate Lift (good) as a ratio between good rate calculated for a subset of cases
that meet given rule and good rate calculated for the whole dataset. We can express
GRRule
Lift(good) using the following formula: Lift ( good ) =
.
GRDataset
Notation
Where:
BRRule
Bad rate calculated for a subset of cases that meet given rule
BRDataset
Bad rate for the whole dataset
GRRule
Good rate calculated for a subset of cases that meet given rule
GRDataset
Good rate for the whole dataset

PAGE 11 OF 32
Attribute building
In the Attribute Building module, risk profiles for every variable can be prepared. Using an automatic
algorithm based on the standard STATISTICA CHAID, C&RT or CHAID on C&RT methods; manual mode;
percentiles or minimum frequency, we can divide variables (otherwise referred to characteristics) into
classes (attributes or bins) containing homogenous risks. Initial attributes can be adjusted manually
to fulfill business and statistical criteria such as profile smoothness or ease of interpretation. There is
also an option to build attributes automatically. To build proper risk profiles, statistical measures of the
predictive power of each attribute (Weight of Evidence (WoE) and IV Information Value) are
calculated.
If automatic creation of attributes is selected program can find optimal bins using CHAID or C&RT
algorithm. In such case tree models are built for each predictor separately (in other words, each model
contains only one predictor). Attributes are created based on terminal nodes prepared by particular
tree. For continuous predictors there is also option CHAID on C&RT which creates initial attributes
based on C&RT algorithm. Terminal nodes created by C&RT are inputs to CHAID method that tries to
merge similar categories into more overall bins. All options of C&RT and CHAID methods are described
in STATISTICA Help (Interactive Trees (C&RT, CHAID)) [8]. More information see : TUTORIAL Developing
Scorecards Using STATISTICA Scorecard [4].
Attribute building (WoE) Weight of Evidence

Weight of Evidence (WoE) measures the predictive power of each bin (attribute). We can
g
compute this measure as: WoE = ln( ) 100 .
b
Notation
Where:
g
column-wise percentage distribution of the total good cases in analyzed bin
column-wise percentage distribution of the total bad cases in the analyzed bin
Computation Details
If there are atypical values in the variables they are considered as separate bin.
Note: If there are categories without good or bad categories WoE value is not
calculated. Such category should be merged with adjacent category to avoids errors in
calculations.

PAGE 12 OF 32
Scorecard preparation
The final stage of this process is scorecard preparation using a standard STATISTICA logistic regression
algorithm to estimate model parameters. Options of building logistic regression model like estimation
parameters or stepwise parameters are described in STATISTICA Help (Generalized Linear/Nonlinear
(GLZ) Models) [8].
There are also some scaling transformations and adjustment method that allows the user to calculate
scorecard so the points reflect the real (expected) odds in incoming population. More information see :
TUTORIAL Developing Scorecards Using STATISTICA Scorecard [4].
Scorecard preparation Scaling Factor

Factor is one of two scaling parameters used during scorecard calculation process. Factor
pdo
can be expressed as: Factor =
.
ln(2)
Notation
Where:
pdo
Points to double the odds parameter given by the user

PAGE 13 OF 32
Scorecard preparation Scaling Offset

Offset is one of two scaling parameters used during scorecard calculation process. Offset
can be expressed as: Offset = Score (Factor ln(Odds) )
Notation
Where:
Score
scoring value for which you want to receive specific odds of the loan repayment parameter given by the user
Odds
odds of the loan repayment for specific scoring value - parameter given by the
user
Factor
scaling parameter calculated on the basis of formula presented above

PAGE 14 OF 32
Scorecard preparation Scaling Calculating score (WoE coding)

When WoE coding is selected for given characteristic, score for each bin (attribute) of such
offset
characteristic is calculated as: Score = WoE + factor +

.
m
m
Notation
Where:
logistic regression coefficient for characteristics that owns the given attribute
logistic regression intercept term
WoE
Weight of Evidence value for given attribute
number of characteristics included in the model
factor
scaling parameter based on formula presented previously
offset
Computation Details
Note: After computation is complete the resulting value is rounded to the nearest integer
value.

PAGE 15 OF 32
Scorecard preparation Scaling Calculating score (Dummy coding)

When dummy coding is selected for given characteristic, score for each bin (attribute) of
offset
such characteristic is calculated as: Score = + factor +

.
m
m
Notation
Where:
logistic regression coefficient for the given attribute
logistic regression intercept term
number of characteristics included in the model
factor
offset
Computation Details
Note: After computation is complete the resulting value is rounded to the nearest integer
value.

PAGE 16 OF 32
Scorecard preparation Scaling Neutral score

k
Neutral score is the calculated as: Neutral score = scorei distri .

i =1
Notation
Where:
k
number of bins (attributes) of the characteristic
scorei
scoring assigned to the ith bin
distri
percentage distribution of the total cases in the ith bin

PAGE 17 OF 32
Scorecard preparation Scaling Intercept adjustment

Balancing data do not effect on regression coefficient except of the intercept (see: Maddala
[3] s. 326). To make score reflect the real data proportions, intercept adjustment is
performed using the following formula: adjusted = regression (ln( p good ) ln( pbad )) . After
adjustment, calculated intercept value is used during scaling transformation.
Notation
Where:
regression
logistic regression intercept term before adjustment
pgood
probability of sampling cases from good strata (or class that is coded in logistic
regression as 1)
pbad
probability of sampling cases from bad strata (or class that is coded in logistic
regression as 0)

PAGE 18 OF 32
Survival
The Survival module is used to build scoring models using the standard STATISTICA Cox Proportional
Hazard Model. We can estimate a scoring model using additional information about the time of
default, or when a debtor stopped paying. Based on this module, we can calculate the probability of
default (scoring) in given time (e.g., after 6 months, 9 months, etc.). Options of input parameters and
output products of Cox Proportional Hazard Model are described in STATISTICA Help (Advanced
Linear/Nonlinear Models - Survival - Regression Models) [8]. For more information see TUTORIAL
Developing Scorecards Using STATISTICA Scorecard [4].

PAGE 19 OF 32
Reject Inference
The Reject inference module allows you to take into consideration cases for which the credit
applications were rejected. Because there is no information about output class (good or bad credit) of
rejected cases, we must add this information using an algorithm. To add information about the output
class, the standard STATISTICA k-nearest neighbors method (from menu Data-Data filtering/RecodingMD Imputation) and parceling method are available. After analysis, a new data set with complete
information is produced.
Reject Inference - Parceling method

To use this method preliminary scoring must be calculated for accepted and rejected cases.
After scoring is calculated you must divide score values into certain group with the same
score range. Step option allows you to divide score into group with certain score range and
starting point equal to Starting value parameter, Number of intervals creates given number
of equipotent groups. In each of the groups number of bad and good cases is calculated,
next rejected cases that belong to this score range group are randomly labeled as bad or
good proportionally to the number of accepted good and bad in this range.
Business rules often suggest that the ratio of good to bad in a group of rejected applications
should not be the same as in the case of applications approved. User can manually change
the proportion of good and bad rejected labeled cases in each score range group
separately. One of the rules of thumb suggests that the rejected bad rate should be from
two to four times higher than accepted.

PAGE 20 OF 32
Model evaluation
The Model Evaluation module is used to evaluate and compare different scorecard models. To assess
models, the comprehensive statistical measures can be selected, each with a full detailed report. More
information see : TUTORIAL Developing Scorecards Using STATISTICA Scorecard [4].
Model evaluation Gini

Gini coefficient measures the extent to which the variable (or model) has better
classification capabilities in comparison to the variable (model) that is a random decision
maker. Gini has a value in the range [0, 1], where 0 corresponds to a random classifier, and
1 is the ideal classifier. We can compute Gini measure as:
k
G = 1 (B ( xi ) B ( xi 1 ) ) (G ( xi ) + G ( xi 1 ) ) ; and G ( x 0 ) = B ( x 0 ) = 0
i =1
Notation
Where:
k
number of categories of analyzed predictor
G(xi)
cumulative distribution of good cases in the ith category
B(xi)
cumulative distribution of bad cases in the ith category
Computation Details
Note: There is strict relationship between Gini coefficient as AUC (Area Under ROC Curve)
coefficient. Such relationship can be expressed as G = 2 AUC 1 .
Model evaluation Information Value (IV)

Information Value (IV) measure is presented in the previous section (feature selection) of
this document.

PAGE 21 OF 32
Model evaluation - Divergence

You can express this index using the following formula: Divergence =
(meanG meanB ) 2
.
0,5 (varG + varB )
Notation
Where:
meanG
the mean value of the score in good population
meanB
the mean value of the score in bad population
varG
the variance of the score in good population
varB
the variance of the score in bad population

PAGE 22 OF 32
Model evaluation Hosmer-Lemeshow

k
Hosmer-Lemeshow goodness of fit statistic is calculated as: HL =

i =1
(oi ni i )2
ni i (1 i )
Notation
Where:
k
number of groups
oi
number of bad cases in the ith group
ni
number of cases in the ith group
average estimated probability of bad in the ith group
Computation Details
Groups for this test are based on the values of the estimated probabilities. In STATISTICA
Scorecard implementation 10 groups are prepared. Groups have the same number of cases.
First group contains subjects having the smallest estimated probabilities and consistently
the last group contains cases having the largest estimated probabilities.

PAGE 23 OF 32
Model evaluation Kolmogorov-Smirnov statistic

Kolmogorov-Smirnov (KS) statistic is determined by the maximum difference between the
cumulative distribution of good and bad cases. You can calculate KS statistic using the
following formula: KS = max G (x j ) B (x j )
j
Notation
Where:
G(x)
cumulative distribution of good cases.
B(x)
cumulative distribution of bad cases
xj
j-th distinct value of score
j=1,,N
where N is the number of distinct score values
Computation Details
KS statistic is a base of formulating statistical test checking if tested distributions differs
significantly. In STATISTICA Scorecard standard KS test is performed based on standard
STATISTICA implementation.
Comments
Very often KS statistic is presented in the graphical form such as on graphs below.
For more information see TUTORIAL Developing Scorecards Using STATISTICA Scorecard [4].

PAGE 24 OF 32
Model evaluation AUC Area Under ROC Curve

AUC measure can be calculated on the basis of Gini coefficient and can be expressed as:
G +1
.
AUC =
2
Notation
Where:
G
Gini coefficient calculated for analyzed model

PAGE 25 OF 32
Model evaluation 2x2 tables measures

AUC measure report generates set of 2x2 table (confusion matrix) effect measures such as
sensitivity, specificity, accuracy and other measures. Lets assume that bad cases will be
considered as positive test results and good cases as negative test results. Based on this
assumption we can define confusion matrix as below.
Observed
Bad
Predicted
Good
Bad
True Positive (TP)
False Positive (FP)
Good
False Negative (FN)
True Negative (TN)
Based on such confusion matrix Sensitivity can be expressed as: SENS =
TP
, whereas
TP + FN
TN
. The other measures used in the AUC
TN + FP
TP + TN
TP
TN
SENS
report : ACC =
; PPV =
; NPV =
; LR =
.
TP + TN + FP + FN
TP + FP
TN + FN
1 SPEC
specificity can be expressed as SPEC =
Notation
Where:
TP
Number of bad cases that are correctly predicted as bad
FP
Number of good cases that are incorrectly predicted as bad
FN
Number of bad cases that are incorrectly predicted as good
TN
Number of good cases that are correctly predicted as good
SENS
Sensitivity
SPEC
Specificity
ACC
Accuracy
PPV
Positive predictive value
NPV
Negative predictive value
LR
Likelihood ratio (+)

PAGE 26 OF 32
Cut-off point selection

The Cut off point selection module is used to define the optimal value of scoring that separates
accepted and rejected applicants. You can extend the decision procedure by adding one or two
additional cut-off points (e.g., applicants with scores below 520 will be declined, applicants with scores
above 580 will be accepted, and applicants with scores between these values will be asked for
additional qualifying information). Cut-off points can be defined manually, based on a Receiver
Operating Characteristic (ROC) analysis for custom misclassifications costs and bad credit fraction.
(ROC analysis provides a measure of the predictive power of a model). Additionally, we can set optimal
cut-off points by simulating profit, associated with each cut-point level. Goodness of the selected cutoff point can be assessed based on various reports. More information see : TUTORIAL Developing
Scorecards Using STATISTICA Scorecard [4].
Cut-off point selection ROC optimal cut-off point

ROC optimal cut-off point is defined as the point tangent to the line with the slope
FP cost 1 p
calculated using the following formula: m =
FN cost p
Notation
Where:
p
prior probability of bad cases in the population.
FP cost
cost of situation when good cases that are incorrectly predicted as bad
FN cost
cost of situation when bad cases that are incorrectly predicted as good

PAGE 27 OF 32
Score cases
The Score Cases module is used to score new cases using a selected model saved as an XML script. We
can calculate overall scoring, partial scorings for each variable, and probability of default from the
logistic regression model, adjusted by an a priori probability of default for the whole population
supplied by the user. For more information see TUTORIAL Developing Scorecards Using STATISTICA
Scorecard [4].
Score cases Adjusting probabilities

To adjust the posterior probability the following formula is used:
pi 0 1
pi* =
(1 pi ) 1 0 + pi 0 1
Notation
Where:
pi
unadjusted estimate of posterior probability
proportion of good class in the sample
proportions of bad class in the sample
proportions of good class in the population
proportion of bad class in the population

PAGE 28 OF 32
Calibration tests
The Calibration Tests module allows banks to test whether or not the forecast probability of default
(PD) has been the PD that has actually occurred. The Binomial Distribution and Normal Distribution
tests are included to test as appropriate the rating classes. The Austrian Supervision Criterion (see [5])
can be selected allowing STATISTICA to automatically choose the appropriate distribution test.
Computation Details
Two tests for determining whether a model underestimates rating results or the PD are the
standard STATISTICA Normal Distribution Test and the standard STATISTICA Binomial Test.
When the Austrian Supervision Criterion is checked, STATISTICA automatically selects the
proper test for each rating class. (see [5]). If the sample meets the following criteria, the
Standard Normal Distribution test is appropriate. For example, if you have a maximum PD
value for a class of .10% then your minimum frequency for that class must be greater than
or equal to 9,010 cases to use the Normal Distribution test. If there are less than 9,101
cases, the Binomial Distribution test would be appropriate.
Maximum PD Value
Minimum Class Frequency
0.10%
9,010
0.25%
3,610
0.50%
1,810
1.00%
910
2.00%
460
3.00%
310
5.00%
190
10.00%
101
20.00%
57
50.00%
37

PAGE 29 OF 32
Population stability
The Population Stability module provides analytical tools for comparing two data sets (e.g., current and
historical data sets) in order to detect any significant changes in characteristic structure or applicant
population. Significant distortion in the current data set may provide a signal to re-estimate model
parameters. This module produces reports of population and characteristic stability with respective
graphs. For more information see TUTORIAL Developing Scorecards Using STATISTICA Scorecard [4].
Population stability
Population stability index measures the magnitude of the population shift between actual
and expected applicants. You can express this index using the following formula:
k
Actuali
Population stability = ( Actuali Expectedi ) ln(
).
Expectedi
i =1
Notation
Where:
k
number of different score values or score ranges
Actuali
percentage distribution of the total Actual cases in the ith score value or score
range
Expectedi
percentage distribution of the total Expected cases in the ith score value or
score range

PAGE 30 OF 32
Characteristic stability
Characteristic stability index provides the information on shifts of distribution of variables
used for example in the scorecard building process. You can express this index using the
k
following formula: Characteristic stability = ( Actuali Expectedi ) scorei .

i =1
Notation
Where:
k
number of categories of analyzed predictor
Actuali
percentage distribution of the total Actual cases in the ith category of

characteristic
Expectedi
percentage distribution of the total Expected cases in the ith category of

characteristic
scorei
value of the score for the ith category of characteristic

PAGE 31 OF 32
References
[1] Agresti, A. (2002). Categorical data analysis, 2nd ed. Hoboken, NJ: John Wiley & Sons.
[2] Hosmer, D, & Lemeshow, S. (2000). Applied logistic regression, 2nd ed. Hoboken, NJ: John Wiley &
Sons.
[3] Maddala, G. S. (2001) Introduction to Econometrics. 3rd ed. John Wiley & Sons.
[4] Migut, G. Jakubowski, J. and Stout, D. (2013) TUTORIAL Developing Scorecards Using STATISTICA
Scorecard. StatSoft Polska/StatSoft Inc.
[5] Oesterreichishe Nationalbank. (2004). Guidelines on credit risk management: Rating models and
validation. Vienna, Austria: Oesterreichishe Nationalbank.
[6] Siddiqi, N. (2006). Credit Risk Scorecards: Developing and Implementing Intelligent Credit Scoring.
Hoboken, NJ: John Wiley & Sons.
[7] StatSoft, Inc. (2013). STATISTICA (data analysis software system), version 12. www.statsoft.com.
[8] Zweig, M. H., and Campbell, G. Receiver-operating characteristic (ROC) plots: a fundamental
evaluation tool in clinical medicine. Clinical chemistry 39.4 (1993): 561-577.

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Making the World More Productive

STATISTICA Formula Guide

Making the World More Productive

Making the World More Productive

STATISTICA Formula Guide

Making the World More Productive

Computation Details ............................................................................................................................. 29

STATISTICA Formula Guide

Making the World More Productive

STATISTICA Formula Guide

Making the World More Productive

Feature selection Cramers V

, in case of dichotomous dependent variable the formula is

simplified and can be expressed as V =

chi square statistics

Number of cases of analyzed dataset

Number of categories of dependent variable

Number of categories of predictor variable

STATISTICA Formula Guide

Making the World More Productive

Feature selection (IV) Information Value

number of bins (attributes) of analyzed predictor

STATISTICA Formula Guide

Making the World More Productive

Feature selection Gini

STATISTICA Formula Guide

Making the World More Productive

Interaction and Rules

Interaction and Rules Bad rate (and Good rate)

STATISTICA Formula Guide

Making the World More Productive

number of bad cases that meet given rule

number of good cases that meet given rule

total number of cases that meet given rule

STATISTICA Formula Guide

Making the World More Productive

Interaction and Rules Lift (bad) and Lift (good)

Bad rate for the whole dataset

Good rate for the whole dataset

STATISTICA Formula Guide

Making the World More Productive

Attribute building (WoE) Weight of Evidence

column-wise percentage distribution of the total good cases in analyzed bin

STATISTICA Formula Guide

Making the World More Productive

Scorecard preparation Scaling Factor

Points to double the odds parameter given by the user

STATISTICA Formula Guide

Making the World More Productive

Scorecard preparation Scaling Offset

scaling parameter calculated on the basis of formula presented above

STATISTICA Formula Guide

Making the World More Productive

Scorecard preparation Scaling Calculating score (WoE coding)

characteristic is calculated as: Score = WoE + factor +

logistic regression intercept term

Weight of Evidence value for given attribute

number of characteristics included in the model

scaling parameter based on formula presented previously

scaling parameter based on formula presented previously