credit scoring

The shape of an ROC curve in the evaluation of credit scoring models
The AUC, i.e. the area under the receiver operating characteristic (ROC) curve, or its scaled version, the Gini coefficient, are the …
Błażej Kochański
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A Simulation Model for Risk and Pricing Competition in the Retail Lending Market
We propose a simulation model of the retail lending market with two types of agents: borrowers searching for low interest rates and …
Błażej Kochański
DOI
Which Curve Fits Best. Fitting ROC Curve Models to Empirical Credit-Scoring Data
In the practice of credit-risk management, the models for receiver operating characteristic (ROC) curves are helpful in describing the …
Błażej Kochański
DOI
Bifractal receiver operating characteristic curves
This paper formulates a mathematical model for generating receiver operating characteristic (ROC) curves without underlying data. …
Błażej Kochański
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