Analytic models of the ROC curve: Applications to credit rating model validation

The Analytics of Risk Model Validation

Volumn , Issue , 2008, Pages 113-133

  Satchell, Stephen ^a,b,c   Xia, Wei ^d  

^a Trinity College   (Australia)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^d UNIVERSITY OF INTERNATIONAL BUSINESS AND ECONOMICS   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84858415804     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-075068158-2.50011-1     Document Type: Chapter

References (8)

1. Bamber D. The area above the ordinal dominance graph and the area below the receiver operating characteristic graph. Journal of Mathematical Psychology 1975, 12:387-415.
2. International Convergence of Capital Measurement and Capital Standards: A Revised Framework. Bank for International Settlements, June. 2004, Basel Committee on Banking Supervision (BCBS).
3. Studies on the Validation of Internal Rating Systems, Working paper No. 14. 2005, Basel Committee on Banking Supervision (BCBS).
4. Engelmann B., Hayden E., Tasche D. Testing rating accuracy. Risk 2003, 16:82-86. January,.
5. Sobehart J.R., Keenan S.C. Measuring default accurately. Risk Magazine 2001, 14:31-33. March.
6. Sobehart J.R., Keenan S.C. Performance evaluation for credit spread and default risk models. In Credit Risk: Models and Management 2004, 275-305. Risk Books, London. second edition. D. Shimko (Ed.).
7. Sobehart, J.R., Keenan S.C., Stein R. Validation. methodologies for default risk models. Credit 2000, 1:51-56.
8. Swets J.A. Measuring the accuracy of diagnostic systems. Science 1988, 240:1285-1293.