By: Bart Baesens, Seppe vanden Broucke | Read and comment on this article on Medium
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You asked: What are benchmark performance indications for both application and behavioural credit scoring in a PD modelling context?
Our answer: Application scorecards usually have an area under the ROC curve (AUC) of about 70% to 80% with about 10–15 variables (e.g. age, income, employment status, years client, etc.) on average.
Since behavioural scoring data sets have more variables, their AUC performance is typically somewhat higher ranging between 75%-90% with also about 10–15 variables (e.g. delinquency status information).
