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The use of effect sizes in credit rating models

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dc.contributor.advisor Ndlovu, P. Steyn, Hendrik Stefanus 2015-07-08T09:02:17Z 2015-07-08T09:02:17Z 2014-12
dc.identifier.citation Steyn, Hendrik Stefanus (2014) The use of effect sizes in credit rating models, University of South Africa, Pretoria, <> en
dc.description.abstract The aim of this thesis was to investigate the use of effect sizes to report the results of statistical credit rating models in a more practical way. Rating systems in the form of statistical probability models like logistic regression models are used to forecast the behaviour of clients and guide business in rating clients as “high” or “low” risk borrowers. Therefore, model results were reported in terms of statistical significance as well as business language (practical significance), which business experts can understand and interpret. In this thesis, statistical results were expressed as effect sizes like Cohen‟s d that puts the results into standardised and measurable units, which can be reported practically. These effect sizes indicated strength of correlations between variables, contribution of variables to the odds of defaulting, the overall goodness-of-fit of the models and the models‟ discriminating ability between high and low risk customers. en
dc.format.extent 1 online resource (xi, 85 leaves) : illustrations
dc.language.iso en en
dc.subject Practical significance en
dc.subject Logistic regression en
dc.subject Cohen‟s d en
dc.subject Probability of default en
dc.subject Effect size en
dc.subject Goodness-of-fit en
dc.subject Odds ratio en
dc.subject Area under the curve en
dc.subject Multi-collinearity en
dc.subject Basel II en
dc.subject.ddc 519.538
dc.subject.lcsh Effect sizes (Statistics) en
dc.subject.lcsh Probability measures en
dc.subject.lcsh Mathematical models en
dc.subject.lcsh Experimental design en
dc.subject.lcsh Analysis of variance en
dc.title The use of effect sizes in credit rating models en
dc.type Dissertation en
dc.description.department Statistics M. Sc. (Statistics)

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