Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/19726 
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dc.contributor.authorEngelmann, Bernden
dc.contributor.authorHayden, Evelynen
dc.contributor.authorTasche, Dirken
dc.date.accessioned2009-01-28T16:02:42Z-
dc.date.available2009-01-28T16:02:42Z-
dc.date.issued2003-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2003,01en
dc.subject.jelG10en
dc.subject.jelC52en
dc.subject.ddc330en
dc.subject.keywordValidationen
dc.subject.keywordRating Modelsen
dc.subject.keywordCredit Analysisen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwBilanzanalyseen
dc.subject.stwDiskriminanzanalyseen
dc.subject.stwStatistischer Testen
dc.subject.stwKreditrisikoen
dc.subject.stwValiditäten
dc.titleMeasuring the Discriminative Power of Rating Systems-
dc.typeWorking Paperen
dc.identifier.ppn391287141en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:2225en

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