On the using of econometric models in the credit scoring systems

Abstract

The paper is devoted to the problem of analysis and forecasting of the solvency of banks borrowers on the base of econometric models, which takes into account the in°uence of the exogenous economic factors on the balance coe±cients of borrowers. The credit score algorithms based on multivariate linear regression model and the "plug-in" decision rule for classiЇcation of the sample from the mixture of the multivariate regression observations distributions are suggested and examined.