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Appraising Credit Ratings

Appraising Credit Ratings »

Source: Appraising Credit Ratings : Does the CAP Fit Better than the ROC?

Volume/Issue: 2012/122

Series: IMF Working Papers

Author(s): R. John Irwin , and Timothy Irwin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

ISBN: 9781475503517

Keywords: Receiver Operating Characteristic (ROC), Cumulative Accuracy Profile (CAP)., probability, equation, probabilities, Cumulative Accuracy Profile (cap),

ROC and CAP analysis are alternative methods for evaluating a wide range of diagnostic systems, including assessments of credit risk. ROC analysis is widely used in many fields, but in finance CAP analysis is more...

Appraising Credit Ratings
			: Does the CAP Fit Better than the ROC?

Appraising Credit Ratings : Does the CAP Fit Better than the ROC? »

Volume/Issue: 2012/122

Series: IMF Working Papers

Author(s): R. John Irwin , and Timothy Irwin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

DOI: http://dx.doi.org/10.5089/9781475503517.001

ISBN: 9781475503517

Keywords: Receiver Operating Characteristic (ROC), Cumulative Accuracy Profile (CAP)., probability, equation, probabilities, Cumulative Accuracy Profile (cap),

ROC and CAP analysis are alternative methods for evaluating a wide range of diagnostic systems, including assessments of credit risk. ROC analysis is widely used in many fields, but in finance CAP analysis is more...