| Abstract [eng] |
Bank for International Settlements (BIS) Basel II resolutions on banks regulatory capital include requirements for credit risk calculation. Credit risk evaluation methods define the possibility of using the internal rating system. One of the main tasks to build the powerful scoring model is to select financial and non-financial factors that appropriately classify companies according to their financial situation. The most popular statistical measure used for discriminatory analysis is the accuracy ratio or Gini index. General Gini index presented in 1914 is still widely applied to measure income inequality in the population. The k-dimensional analogue of Gini index as volume of zonoid was defined only in 1995 by Mosler and Koshevoy. The main purpose of this paper is to build the generalized Gini index of scoring model following the theory of zonoids. In the first part of the paper the usual Lorenz curve, traditional Gini index and its summary measures are presented. The second part presents the definition of the scoring models Gini index according to scoring model power measures applied in BIS resolutions. Furthermore the Gini indexes of Lorenz curve bottom and top approximations are defined and two its summary measures – norm and volume Gini indexes are constructed. Finally the stability of separate financial ratios Gini indexes and the general stability of univariate, norm and volume Gini indexes are analysed and final conclusions are presented. |
