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1. Introduction
2. Outline
3. Principles by the AIG
4. Predictive ability of a bank's risk estimates
5. What is discriminatory power?
6. Tools for measuring discriminatory power
7. Notation from "Validation Techniques l"
8. Cumulative accuracy profile (CAP)
9. CAP curves
10. Accuracy ratio (AG) (or Gini coefficient)
11. Receiver operating characteristic (ROC) (1)
12. ROC curves
13. Area under the curve (AUC)
14. Error rates as measures of discriminatory power
15. Pietra index and stability index
16. Conditional PD given the scores (P[D|S])
17. Determination coefficient and Brier score
18. Entropy based measures
19. Information entropy as function of PD
20. Shadow ratings
21. Calibration - how accurate are the estimates?
22. Conditional versus unconditional tests
23. Binomial test
24. Calibration - example
25. Hosmer - Lemeshow test
26. Spiegelhalter test
27. Spiegelhalter test - basic setting
28. Spiegelhalter test: test statistic
29. Testing unconditional PDs
30. Testing unconditional PDs: test statistic
31. Example for use of normal test
32. 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

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on October 1, 2007
• Archived on April 4, 2022