credit scoring

Tomorrow, in Edinburgh I am presenting an idea that challenges the way we usually evaluate scoring models. Instead of relying on a single number like AUC or Gini, I argue for a two-dimensional view that also takes into account the shape of the ROC curve.

The AUC, i.e. the area under the receiver operating characteristic (ROC) curve, or its scaled version, the Gini coefficient, are the …

Presentation (PDF). In the presentation, I introduce the Better Gini Impact Calculator.

We propose a simulation model of the retail lending market with two types of agents: borrowers searching for low interest rates and …

In the practice of credit-risk management, the models for receiver operating characteristic (ROC) curves are helpful in describing the …

This paper formulates a mathematical model for generating receiver operating characteristic (ROC) curves without underlying data. …

ROC curves, which derive from signal detection theory, are widely used to assess binary classifiers in various domains. The AUROC (area …