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Modified Kolmogorov-Smirnov Statistic for Credit Evaluation
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 Title & Authors
Modified Kolmogorov-Smirnov Statistic for Credit Evaluation
Hong, C.S.; Bang, G.;
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For the model validation of credit rating models, Kolmogorov-Smirnov(K-S) statistic has been widely used as a testing method of discriminatory power from the probabilities of default for default and non-default. For the credit rating works, K-S statistics are to test two identical distribution functions which are partitioned from a distribution. In this paper under the assumption that the distribution is known, modified K-S statistic which is formulated by using known distributions is proposed and compared K-S statistic.
Credit rating model;score;discriminatory power;distribution function;nonparametric test;probability of default;risk;validation;
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