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Abstract
The AUC, i.e. the area under the receiver operating characteristic (ROC) curve, or its scaled version, the Gini coefficient, are the standard measures of the discriminatory power of credit scoring. Using binormal ROC curve models, we show how the shape of the curves affects the economic benefits of using scoring models with the same AUC. Based on the results, we propose that the shape parameter of the fitted ROC curve is reported alongside its AUC/Gini whenever the quality of a scorecard is discussed.
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- Accepted or Published Version
- DOI:
- Digital Object Identifier (open in new tab) 10.59170/stattrans-2024-022
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- Category:
- Articles
- Type:
- artykuły w czasopismach
- Published in:
-
STATISTICS IN TRANSITION
no. 25,
pages 205 - 218,
ISSN: 1234-7655 - Language:
- English
- Publication year:
- 2024
- Bibliographic description:
- Kochański B.: The shape of an ROC curve in the evaluation of credit scoring models// STATISTICS IN TRANSITION -Vol. 25,iss. 2 (2024), s.205-218
- DOI:
- Digital Object Identifier (open in new tab) 10.59170/stattrans-2024-022
- Sources of funding:
-
- COST_FREE
- Verified by:
- Gdańsk University of Technology
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