Criterion of Test Statistics for Validation in Credit Rating Model

신용평가모형에서 타당성검증 통계량들의 판단기준

  • 박용석 (성균관대학교 응용통계연구소) ;
  • 홍종선 (성균관대학교선 통계학과) ;
  • 임한승 (한국기업평가)
  • Published : 2009.03.30


This paper presents Kolmogorov-Smirnov, mean difference, AUROC and AR, four well known statistics that have been widely used for evaluating the discriminatory power of credit rating models. Criteria for these statistics are determined by the value of mean difference under the assumption of normality and equal standard deviation. Alternative criteria are proposed through the simulations according to various sample sizes, type II error rates, and the ratio of bads, also we suggest the meaning of statistic on the basis of discriminatory power. Finally we make a comparative study of the currently used guidelines and simulated results.


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