The Way of Assessing the Gini Coefficient, the Kolmogorov–Smirnov Statistics and the Mahalanobis Distance in Credit Scoring Using SQL Language Possibilities

Олександр Миколайович Солошенко

Abstract


Method of  assessing the Gini indicator, the Kolmogorov–Smirnov statistics and the Mahalanobis distance using the Data Manipulation Language (DML) possibilities within the Structured Query Language (SQL) as the  Fourth-Generation  programming  Language (4GL) implementation providing the corresponding program code was developed. The key feature of the program implementation is the application of the common table expressions, aggregate and analytic windowing functions, table joins, set operations and other possibilities of the DML language within the SQL language as the 4GL approach using the database application Oracle Database 11g as an example. The way of assessing the forecasting performance indicators for an abstract fuzzy probabilistic classifier, particularly in credit scoring, is proposed. The research results are the formalization of the way of assessing the scorecard performance key statistical indicators and providing corresponding program code with the SQL language. The advantages of the proposed way of assessing the statistical indicators with the Fourth-Generation programming Languages are given.


Keywords


Credit scoring; Gini indicator; Kolmogorov–Smirnov statistics; Mahalanobis distance; Data Manipulation language (DML); Structured query language (SQL); Aggregate and analytic windowing functions; Fourth-generation programming languages (4GL)

References


L.C. Thomas et al., Credit Scoring and its Applications: SIAM monographs on mathematical modeling and computation. Philadelphia, SIAM, University City Sci. Center, 2002, 248 p.

Naeem Siddiqi, Credit risk scorecards: developing and implementing intelligent credit scoring. Hoboken: John Wiley & Sons, Inc., 2006, 196 p.

Руководство по кредитному скорингу: Учебн. пособие / Под ред. Элизабет Мэйз; пер. с англ. И.М. Тикота; научн. ред. Д.И. Вороненко. – Минск: Гревцов Паблишер, 2008. – 464 с.

Урман Скотт. ORACLE 8. Программирование на языке PL/SQL. – Москва: Лори, 1999. – 608 с.

Ицик Бен-Ган. Microsoft SQL Server 2012. Высокопроизводительный код T-SQL. Оконные функции. – Санкт-Петербург: БХВ-Петербург, 2013. – 256 с.

Бідюк П.І., Кузнєцова Н.В., Терентьєв О.М. Система підтримки прийняття рішень для аналізу фінансових даних // Наукові вісті НТУУ “КПІ”. – 2011. – № 1. – С. 48–61.

Згуровський М.З. Сталий розвиток у глобальному і регіональному вимірах: Аналіз за даними 2005 р. – К.: НТУУ “КПІ”, 2006. – 84 с.


GOST Style Citations






DOI: https://doi.org/10.20535/1810-0546.2015.1.49118

Refbacks

  • There are currently no refbacks.




Copyright (c) 2015