Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation

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Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation

Author Info

Stephen Satchel (School of Finance and Economics, University of Technology, Sydney)
Wei Xia (Birbeck College, University of London)

Abstract

In this paper, the authors use the concept of the population ROC curve to build analytic models of ROC curves. Information about the population properties can be used to gain greater accuracy of estimation relative to the non-parametric methods currently in vogue. If used properly this is particularly helpful in some situations where the number of sick loans is rather small; a situation frequently met in periods of benign macro-economic background.

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Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 181.

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Length: 32
Date of creation: 01 Aug 2006
Date of revision:
Handle: RePEc:uts:rpaper:181

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This paper has been announced in the following NEP Reports:

NEP-ALL-2006-08-26 (All new papers)
NEP-FIN-2006-08-26 (Finance)
NEP-FMK-2006-08-26 (Financial Markets)
NEP-RMG-2006-08-26 (Risk Management)

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