Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19726
Full metadata record
DC FieldValueLanguage
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 banksand to regulators. In this article we analyze the Cumulative Accuracy Profile (CAP) and theReceiver Operating Characteristic (ROC) which are both commonly used in practice. We givea test-theoretic interpretation for the concavity of the CAP and the ROC curve and demonstratehow this observation can be used for more efficiently exploiting the informational contents ofaccounting 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 informationand we analyse the statistical properties of these measures. We show in detail how to identifyaccounting ratios with high discriminative power, how to calculate confidence intervals for thearea below the ROC curve, and how to test if two rating models validated on the same data set aredifferent. All concepts are illustrated by applications to real data.en_US
dc.language.isoengen_US
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.-
dc.relation.ispartofseries|aDiscussion Paper, Series 2: Banking and Financial Supervision |x2003,01en_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-

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.