Analytic models of the receiver operating characteristic curve: Applications to credit rating model validation

Steve Satchell and Wei Xia

Journal of Risk Management in Financial Institutions, 2007, vol. 1, issue 1, 90-106

Abstract: In this paper, the authors use the concept of the population receiver operating characteristic (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 practice and in periods of benign macroeconomic background.

Keywords: validation; credit analysis; rating models; ROC; Basel II (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2007:v:1:i:1:p:90-106

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