Reference no: EM131445429 , Length: word count:2000
General Instructions:
- This assignment is to be completed in the same groups as used in Assignment 1
- Students are required to use Matlab to complete all workings
- The report is to be no longer than 3,500 words excluding references and any appendices
- A soft copy of the report is to be submitted on SafeAssign by 5pm on the 14th of April with a soft copy and all Matlab coding used for calculations emailed to me by the same time
- A hard copy is to be provided to me in the following Lecture
- Academic references such as those supplied as course material and any other relevant academic research should help form the basis of your analysis
- All references used must be outlined within the report and cited at the end of the report
Assignment Details:
- You are responsible for the development of a Behavioural Credit Scorecard for retail customers within the Risk Department of an Irish bank
- Take the Credit Scorecard Data Excel file from Blackboard as your modelling data set
- In order to develop your Behavioural Credit Scorecard you should carry out the following:
1. Data Management:
o Complete an analysis of the data set
o Conduct any data manipulations that may be required
2. Single Factor Analysis:
o Generate optimal groupings within the candidate variables (justifying all decisions being taken)
o Identify the strongest potential variables for inclusion
3. Multi-Factor Analysis:
o Using the existing data set develop any new variables from this data that you might consider appropriate (justifying any such variables created)
o Identify potential scorecards for use, considering variable correlations
4. Testing:
o Perform hold-out sample testing in order to select the scorecard for use
o Decide on the optimal scorecard to be used justifying your selection
o Conduct sensitivity testing and robustness testing of your selected scorecard and revise you selection if necessary
Note:
- Consider utilising additional references outside of the course material
- Ensure that you can justify all choices made, using quantitative rationale where possible
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