Błażej Kochański - Science profile - Bridge of Knowledge


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dr Błażej Kochański

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Assistant professor

Gmach B
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+48 58 348 6013

Publication showcase

  • Which Curve Fits Best: Fitting ROC Curve Models to Empirical Credit-Scoring Data

    - Risks - Year 2022

    In the practice of credit-risk management, the models for receiver operating characteristic (ROC) curves are helpful in describing the shape of an ROC curve, estimating the discriminatory power of a scorecard, and generating ROC curves without underlying data. The primary purpose of this study is to review the ROC curve models proposed in the literature, primarily in biostatistics, and to fit them to actual credit-scoring ROC data...

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  • Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts

    This paper formulates a mathematical model for generating receiver operating characteristic (ROC) curves without underlying data. Credit scoring practitioners know that the Gini coefficient usually drops if it is only calculated on cases above the cutoff. This fact is not a mathematical necessity, however, as it is theoretically possible to get an ROC curve that keeps the same Gini coefficient no matter how big a share of lowest...

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  • Economics of credit scoring management

    - Year 2019

    Credit scoring models constitute an inevitable element of modern risk and profitability management in retail financial lending institutions. Quality,or separation power of a credit scoring model is usually assessed with the Gini coefficient. Generally, the higher Gini coefficient the better, as in this way a bank can increase number of good customers and/or reject more bad applicants. In...

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