Assessing the discriminatory power of loss given default models

DOI10.1080/02664763.2021.1910936OpenAlexW3153769354MaRDI QIDQ5093048

Thomas Nowak, Hannes Kazianka, Anna Morgenbesser

Publication date: 26 July 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2021.1910936

zbMATH Keywords

receiver operating characteristicloss given defaultdiscriminatory powervolume under surface

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics (62Pxx)

Related Items (1)

VUROCS

Uses Software

• R

Cites Work

• An introduction to copulas.
• On the scalability of ordered multi-class ROC analysis
• Multi-Panel Kendall plot in light of an ROC curve analysis applied to measuring dependence
• Detecting Dependence With Kendall Plots
• A simple generalisation of the area under the ROC curve for multiple class classification problems

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