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http://hdl.handle.net/10419/19726
  

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dc.contributor.authorEngelmann, Bernden_US
dc.contributor.authorHayden, Evelynen_US
dc.contributor.authorTasche, Dirken_US
dc.date.accessioned2009-01-28T16:02:42Z-
dc.date.available2009-01-28T16:02:42Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/19726-
dc.description.abstractAssessing the discriminative power of rating systems is an important question to banks and to regulators. In this article we analyze the Cumulative Accuracy Profile (CAP) and the Receiver Operating Characteristic (ROC) which are both commonly used in practice. We give a test-theoretic interpretation for the concavity of the CAP and the ROC curve and demonstrate how this observation can be used for more efficiently exploiting the informational contents of accounting ratios. Furthermore, we show that two popular summary statistics of these concepts, namely the Accuracy Ratio and the area under the ROC curve, contain the same information and we analyse the statistical properties of these measures. We show in detail how to identify accounting ratios with high discriminative power, how to calculate confidence intervals for the area below the ROC curve, and how to test if two rating models validated on the same data set are different. All concepts are illustrated by applications to real data.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion Paper, Series 2: Banking and Financial Supervision 2003,01en_US
dc.subject.jelG10en_US
dc.subject.jelC52en_US
dc.subject.ddc330en_US
dc.subject.keywordValidationen_US
dc.subject.keywordRating Modelsen_US
dc.subject.keywordCredit Analysisen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwBilanzanalyseen_US
dc.subject.stwDiskriminanzanalyseen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwValiditäten_US
dc.titleMeasuring the Discriminative Power of Rating Systemsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn391287141en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:2225-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

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