Working Papers Series 2010, 1

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We focus on credit scoring methods to separate defaulter small and medium enterprises from non-defaulter ones. In this framework, a typical problem occurs because the proportion of defaulter firms is very close to zero, leading to a class imbalance problem. Moreover, a form of bias may aect the classication. In fact, classication models are usually based on balance sheet items of large corporations which are not randomly selected. We investigate how dierent criteria of sample selection may aect the accuracy of the classication and how this problem is strongly related to the imbalance of the classes.

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