Why PD curves calibrated from scoring models should have a Fermi-Dirac shape?

Abstract

Scoring model performance measurement is usualy achieved by using CAP and ROC curves. We map CAP curves to a ball-box problem and we use statistical physics techniques to compute the number of CAP curves that correspond to a... [ view full abstract ]

Authors

  1. Vivien Brunel (Pôle Léonard de Vinci)

Topic Areas

Credit Risk , Machine Learning , Risk Measures

Session

MO-P-UI » Risk Measures: Theory and Practice (14:30 - Monday, 16th July, Ui Chadhain)

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