Validation techniques II [electronic resource] : discriminatory power and calibration / Dirk Tasche.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2007Description: 1 online resource (1 streaming video file (40 min.) : color, sound)Subject(s): Financial risk managementOnline resources: Click here to access online | Series Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: Validation principles -- Predictive ability, discriminatory power and PD calibration -- Cumulative accuracy profile (CAP) -- Accuracy ratio (AR) -- Receiver Operating Characteristic -- Kolmogorov-Smirnov statistic -- Conditional and unconditional tests -- Binomial test -- Hosmer-Lemeshow test -- Spiegelhalter test -- Normal test.
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Mode of access: World Wide Web.