Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation
Author
Abstract
Suggested Citation
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Dirk Tasche, 2009. "Estimating discriminatory power and PD curves when the number of defaults is small," Papers 0905.3928, arXiv.org, revised Mar 2010.
- Eduardo Acosta-González & Fernando Fernández-Rodríguez, 2014. "Forecasting Financial Failure of Firms via Genetic Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 133-157, February.
- Fernando N. de Oliveira, 2015. "Financial and Real Sector Leading Indicators of Recessions in Brazil using Probabilistic Models," Working Papers Series 402, Central Bank of Brazil, Research Department.
- Janet Mitchell & Patrick Van Roy, 2007. "Failure prediction models : performance, disagreements, and internal rating systems," Working Paper Research 123, National Bank of Belgium.
- Andrea Bedin & Monica Billio & Michele Costola & Loriana Pelizzon, 2019.
"Credit Scoring in SME Asset-Backed Securities: An Italian Case Study,"
JRFM, MDPI, vol. 12(2), pages 1-28, May.
- Bedin, Andrea & Billio, Monica & Costola, Michele & Pelizzon, Loriana, 2019. "Credit scoring in SME asset-backed securities: An Italian case study," SAFE Working Paper Series 262, Leibniz Institute for Financial Research SAFE.
- Kajal Lahiri & Liu Yang, 2018.
"Confidence Bands for ROC Curves With Serially Dependent Data,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 115-130, January.
- Kajal Lahiri & Liu Yang, 2013. "Confidence Bands for ROC Curves with Serially Dependent Data," Discussion Papers 13-07, University at Albany, SUNY, Department of Economics.
- Catão, Luis A.V. & Milesi-Ferretti, Gian Maria, 2014.
"External liabilities and crises,"
Journal of International Economics, Elsevier, vol. 94(1), pages 18-32.
- Mr. Luis Catão & Mr. Gian M Milesi-Ferretti, 2013. "External Liabilities and Crises," IMF Working Papers 2013/113, International Monetary Fund.
- Milesi-Ferretti, Gian Maria & Catão, LuÃs, 2014. "External Liabilities and Crises," CEPR Discussion Papers 10058, C.E.P.R. Discussion Papers.
- Lis Bettina & Nessler Christian & Retzmann Jan, 2011. "The Proposition Value Of Corporate Ratings - A Reliability Testing Of Corporate Ratings By Applying Roc And Cap Techniques," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 6(2), pages 60-90, August.
- Joël Bessis, 2009. "Risk Management in Banking," Post-Print hal-00494876, HAL.
- Lukasz Prorokowski, 2016. "Rank-order statistics for validating discriminative power of credit risk models," Bank i Kredyt, Narodowy Bank Polski, vol. 47(3), pages 227-250.
- Elisa Ughetto & Andrea Vezzulli, 2011. "What role can mutual guarantee consortia play for financing innovation? A firm-level study for Italy," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 3(4), pages 294-319.
- Eleimon Gonis & Salima Paul & Jon Tucker, 2012. "Rating or no rating? That is the question: an empirical examination of UK companies," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 709-735, September.
More about this item
Keywords
validation; credit analysis; rating model; ROC; Basel II;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-08-26 (Finance)
- NEP-FMK-2006-08-26 (Financial Markets)
- NEP-RMG-2006-08-26 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:181. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Duncan Ford (email available below). General contact details of provider: https://edirc.repec.org/data/qfutsau.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.