欢迎来到天天文库
浏览记录
ID:40946384
大小:95.42 KB
页数:21页
时间:2019-08-11
《Measuring the Discrimination Quality of》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、MeasuringtheDiscriminationQualityofSuitesofScorecards:ROCsGinis,BoundsandSegmentationLynCThomasQuantitativeFinancialRiskManagementCentre,UniversityofSouthamptonUKCSCCX,EdinburghAugust200711Outline•Howtomeasurescorecards–Measuresofdiscrimination•Divergence–expectationsofwoefuncti
2、ons•KolmogorvSmirnov-differenceindistributionfunction•ROCcurves-comparisonofdistributionfunction/businessmeasures•Ginicoefficient/Dconcordancestatistic-–SimpleboundforROCCurve–Relationshipbetweenmeasuresofdiscrimination•Segmentingandmeasuresofsegmentation–Whysegmentandbuilddiffe
3、rentscorecardsoneachsegment–Howmuchofdiscriminationduetosegmentationandhowmuchtoscorecard?–Someexamplesfrombehaviouralscorecards22Measuringscorecardsincreditscoring•Threedifferentaspectsofascorecardsperformancethatonemightwanttomeasure•Discriminatorypower(onlyusesscorecard)–Howg
4、oodisthesystematseparatingthetwoclassesofgoodsandbads•Divergencestatistic•Mahalanobisdistance•Somer’sD-concordancestatistic•Kolmogorov–Smirnovstatistic•ROCcurve•Ginicoefficient•Calibrationofprobabilityforecast(usesscorecardandpopulationodds)–NotusedmuchuntilBaselrequirementsands
5、ofewtests•Chi-square(Hosmer-Lemeshow)test•BinomialandNormaltests•Categoricalpredictionerror(usesscorecard,populationoddsandcut-offscore)–Thisrequiresthescorecardandthecut-offscoresoonecanimplementthedecisionsandseehowmanyerroneousclassificationsthereareErrorrates2by2tablesandswa
6、psetsHypothesistests33Divergence•IntroducedbyKullbeck•ContinuousversionofInformationValue•Letf(s
7、G)(f(s
8、B))bedensityfunctionsofscoresofgoods,(G)(bads(B))inascorecard.DivergenceisthendefinedbyfsG(
9、)DivergenceD==∫(fsG(
10、)-fsB(
11、)logds=∫(fsG(
12、)-fsBwsds(
13、)()fsB(
14、)wherew(s)isthew
15、eightsofevidenceatscore.LikeExp(weightsofevidence)-Exp(weightsofevidence)goodsdistbaddist•D≥0andD=0Ûf(s
16、G)=f(s
17、B)•D®¥Ûnooverlapbetweenscoresofgoodsandbads•Reallycanonlycalculatethedivergencebysplittingscoresintobands.Ifibandswith∑gi=nGand∑bi=nBiIÎiIÎgn/gnInformationValueIV==
18、gn/-bn/lniG=gn/-bn/lniB∑(iGiB)∑(iGiB)44iIÎ
此文档下载收益归作者所有