The relationship between default prediction and lending profits: Integrating ROC analysis and loan pricing

Journal of Banking and Finance

Volumn 29, Issue 5, 2005, Pages 1213-1236

  Stein, Roger M ^a  

^a Moody's KMV   (United States)

Author keywords

Bank lending; Default prediction; Discrete choice models; Economic value of information; Model power; Model validation; Rating systems; ROC analysis; Simulation

Indexed keywords

EID: 13444259958     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.04.008     Document Type: Article

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