Assessing the discriminatory power of loss given default models

DOI10.1080/02664763.2021.1910936MaRDI QIDQ5093048zbMATH OpenOpenAlexFDO

Authors Hannes Kazianka, Anna Morgenbesser, Thomas Nowak

Publication date 26 July 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2021.1910936

zbMATH Keywords

discriminatory powerloss given defaultreceiver operating characteristicvolume under surface

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics (62Pxx)

Cites work

• A simple generalisation of the area under the ROC curve for multiple class classification problems
• An introduction to copulas.
• Detecting dependence with Kendall plots
• Multi-Panel Kendall plot in light of an ROC curve analysis applied to measuring dependence
• On the scalability of ordered multi-class ROC analysis

Cited in

(1)

• VUROCS

Describes a project that uses

Uses Software

• R

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