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Modified Kolmogorov-Smirnov Statistic for Credit Evaluation

신용평가를 위한 Kolmogorov-Smirnov 수정통계량

Hong, C.S.;Bang, G.
홍종선;방글

  • Published : 2008.12.31

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

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