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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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 Abstract
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.
 Keywords
Credit rating model;score;discriminatory power;distribution function;nonparametric test;probability of default;risk;validation;
 Language
Korean
 Cited by
1.
신용평가에서 두 분포의 동일성 검정에 대한 수정통계량,홍종선;박하수;

응용통계연구, 2009. vol.22. 2, pp.237-248 crossref(new window)
1.
Developing the high risk group predictive model for student direct loan default using data mining, Journal of the Korean Data and Information Science Society, 2015, 26, 6, 1417  crossref(new windwow)
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