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Estimating the impact of combined correlated credit scorecards
The authors propose an algorithm which can aid the estimation of the validity of combined risk models lacking primary data.
Błażej Kochański, Saul Fine
DOI
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
PDF DOI
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
PDF DOI
20+ years of Polish residential real estate prices – a house price index proxy
Information on house prices is often considered crucial when assessing developments in economy. However, in Poland for the long time …
Błażej Kochański