Credit scoring with class imbalance data: An out-of-sample and out-of-time perspective.
Published: 4 October 2023| Version 3 | DOI: 10.17632/bzr2rxttvz.3
Contributor:
jonah mushavaDescription
Data for predicting default risk in performance windows ranging from 12 to 60 months. For example, FM12 folder contains data on whether mortgage loan profiles with a credit score of less than 730 defaulted within 12 months of the loan origination date. A training sample is provided for each outcome window, as well as out-of-sample (OOS) and out-of-time (OOT) testing samples. OOS is generated using the same timeline as the training sample, whereas OOT is created from a future timeline. The samples are all generated using common features.
Files
Steps to reproduce
FM Data.zip : see https://doi.org/10.1016/j.eswa.2022.117233 FM DataV2.zip : Data in Brief article to be submitted OutOfUniverse.zip : Data in Brief article to be submitted
Institutions
University of KwaZulu-Natal - Westville Campus
Categories
Financial Risk, Machine Learning, Credit