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Printable Handouts
Navigable Slide Index
- Introduction
- Outline
- Principles by the AIG
- Predictive ability of a bank's risk estimates
- What is discriminatory power?
- Tools for measuring discriminatory power
- Notation from "Validation Techniques l"
- Cumulative accuracy profile (CAP)
- CAP curves
- Accuracy ratio (AG) (or Gini coefficient)
- Receiver operating characteristic (ROC) (1)
- ROC curves
- Area under the curve (AUC)
- Error rates as measures of discriminatory power
- Pietra index and stability index
- Conditional PD given the scores (P[D|S])
- Determination coefficient and Brier score
- Entropy based measures
- Information entropy as function of PD
- Shadow ratings
- Calibration - how accurate are the estimates?
- Conditional versus unconditional tests
- Binomial test
- Calibration - example
- Hosmer - Lemeshow test
- Spiegelhalter test
- Spiegelhalter test - basic setting
- Spiegelhalter test: test statistic
- Testing unconditional PDs
- Testing unconditional PDs: test statistic
- Example for use of normal test
- Conclusions
Topics Covered
- Validation principles
- Predictive ability, discriminatory power and PD calibration
- Cumulative accuracy profile (CAP)
- Accuracy ratio (AR)
- Receiver operating characteristic
- Kolmogorov-Smirnov statistic
- Conditional and unconditional tests
- Binomial test
- Hosmer-Lemeshow test
- Spiegelhalter test
- Normal test
Talk Citation
Tasche, D. (2007, October 1). Validation techniques II: discriminatory power and calibration [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 23, 2024, from https://doi.org/10.69645/KCTV8979.Export Citation (RIS)