A risk score is a metric used in statistics, biostatistics, econometrics and related disciplines to stratify a population for targeted screening.
It assigns scores to individuals based on risk factors; a higher score reflects higher risk.
The score reflects the level of risk in the presence of some risk factors (e.g. risk of mortality or disease in the presence of symptoms or genetic profile, risk financial loss considering credit and financial history, etc.).
Risk scores are mainly designed to be: A typical scoring method is composed of 3 components:[1] Items 1 & 2 can be achieved by using some form of regression, that will provide both the risk estimation and the formula to calculate the score.
Item 3 requires setting an arbitrary set of thresholds and will usually involve expert opinion.
Risk score are designed to represent an underlying probability of an adverse event denoted
containing measurements of the relevant risk factors.
In order to establish the connection between the risk factors and the probability, a set of weights
is estimated using a generalized linear model: Where
is a real-valued, monotonically increasing function that maps the values of the linear predictor
GLM methods typically uses the logit or probit as the link function.
using other statistical or machine learning methods, the requirements of simplicity and easy interpretation (and monotonicity per risk factor) make most of these methods difficult to use for scoring in this context: When using GLM, the set of estimated weights
can be used to assign different values (or "points") to different values of the risk factors in
(continuous or nominal as indicators).
The score can then be expressed as a weighted sum: Let
"escalating" actions available for the decision maker (e.g. for credit risk decisions:
= "require more documentation and check manually",
In order to define a decision rule, we want to define a map between different values of the score and the possible decisions in
consecutive, non-overlapping intervals, such that
The map is defined as follows: (see more examples on the category page Category:Medical scoring system) The primary use of scores in the financial sector is for Credit scorecards, or credit scores: