Abstract Application scorecards play a critical part in determining the creditworthiness of applicants for acquisition purposes. However, the level of bad rate in a downturn period and upturn period although monotonic are different across the scores due to procyclicality (which arises from the fluctuation of financial characteristics around a trend in an economic cycle). The procyclicality effect from an acquisition perspective on a bureau scorecard is investigated with emphasis on South African retail banking data, and performance between downturn and upturn periods is compared. This paper contributes by proposing a methodology which incorporates a Bayesian calibration approach to adjust to future expected bad rates: the comparison indicates that calibration is essential to account for procyclicality.

中文翻译：

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局记分卡的非资本校准

摘要 申请记分卡在确定申请人的信用度方面起着关键作用。然而，由于顺周期性（由围绕经济周期趋势的金融特征波动引起），低迷期和好转期的不良率水平虽然单调，但在分数上有所不同。从收购角度对局记分卡的顺周期性影响进行了研究，重点是南非零售银行数据，并比较了经济低迷期和好转期之间的表现。本文提出了一种方法，该方法结合了贝叶斯校准方法以适应未来的预期不良率：比较表明校准对于解释顺周期性至关重要。