Search
Search results for: ROC CURVE
-
Which Curve Fits Best: Fitting ROC Curve Models to Empirical Credit-Scoring Data
PublicationIn 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...
-
How to model ROC curves - a credit scoring perspective
PublicationROC curves, which derive from signal detection theory, are widely used to assess binary classifiers in various domains. The AUROC (area under the ROC curve) ratio or its transformations (the Gini coefficient) belong to the most widely used synthetic measures of the separation power of classification models, such as medical diagnostic tests or credit scoring. Frequently a need arises to model an ROC curve. In the biostatistical...
-
Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts
PublicationThis 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...
-
OCENA PRZYDATNOŚCI WIELOWYMIAROWYCH MODELI DYSKRYMINACYJNYCH DO PROGNOZOWANIA UPADŁOŚCI PRZEDSIĘBIORSTW HANDLOWYCH
PublicationCelem badań była ocena przydatności użycia modeli opartych na wielowymiarowej analizie dyskryminacyjnej do prognozowania upadłości polskich przedsiębiorstw handlowych oraz próba zwiększenia ich sprawności poprzez zmianę wartości ich punktów granicznych. Badaniu poddano modele: E. I. Altmana „B”, D. Hadasik, A. Hołdy oraz M. Hamrola, B. Czajki i M. Piechockiego. Do oceny modeli wykorzystano iloraz szans oraz macierz klasyfikacji...