Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs
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References listed on IDEAS
- Dirk Tasche, 2006. "Validation of internal rating systems and PD estimates," Papers physics/0606071, arXiv.org.
- Raffaella Calabrese & Silvia Angela Osmetti, 2011. "Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults," Working Papers 201120, Geary Institute, University College Dublin.
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More about this item
KeywordsReceiver Operating Characteristic (ROC) curve; Classification Error Costs; credit rating models;
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