Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation

In this paper, the authors use the concept of the population ROC curve to build analytic models of ROC curves. Information about the population properties can be used to gain greater accuracy of estimation relative to the non-parametric methods currently in vogue. If used properly this is particularly helpful in some situations where the number of sick loans is rather small; a situation frequently met in periods of benign macro-economic background.

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Year of publication:	2006-08-01
Authors:	Satchel, Stephen ; Xia, Wei
Institutions:	Finance Discipline Group, Business School
Subject:	validation \| credit analysis \| rating model \| ROC \| Basel II

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 181 3 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005073667