Appraising credit ratings : does the CAP fit better than the ROC? /
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| Author / Creator: | Irwin, R. John. |
|---|---|
| Imprint: | [Washington, District of Columbia] : International Monetary Fund, 2012. |
| Description: | 1 online resource (25 pages) : illustrations. |
| Language: | English |
| Series: | IMF Working Paper ; WP/12/122 IMF working paper ; WP/12/122. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/13511530 |
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| 100 | 1 | |a Irwin, R. John. | |
| 245 | 1 | 0 | |a Appraising credit ratings : |b does the CAP fit better than the ROC? / |c R. John Irwin and Timothy C. Irwin. |
| 260 | |a [Washington, District of Columbia] : |b International Monetary Fund, |c 2012. | ||
| 300 | |a 1 online resource (25 pages) : |b illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF Working Paper ; |v WP/12/122 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Online resource; title from PDF title page (ebrary, viewed June 17, 2014). | |
| 520 | 3 | |a ROC and CAP analysis are alternative methods for evaluating a wide range of diagnostic systems, including assessments of credit risk. ROC analysis is widely used in many fields, but in finance CAP analysis is more common. We compare the two methods, using as an illustration the ability of the OECD{u2019}s country risk ratings to predict whether a country will have a program with the IMF (an indicator of financial distress). ROC and CAP analyses both have the advantage of generating measures of accuracy that are independent of the choice of diagnostic threshold, such as risk rating. ROC analysis has other beneficial features, including theories for fitting models to data and for setting the optimal threshold, that we show could also be incorporated into CAP analysis. But the natural interpretation of the ROC measure of accuracy and the independence of ROC curves from the probability of default are advantages unavailable to CAP analysis. | |
| 650 | 0 | |a Credit ratings |x Econometric models. | |
| 650 | 6 | |a Cotes de solvabilité |x Modèles économétriques. | |
| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Irwin, Timothy C. | |
| 710 | 2 | |a International Monetary Fund. |b Fiscal Affairs Department. |0 http://id.loc.gov/authorities/names/n81027435 | |
| 776 | 0 | 8 | |i Print version: |a Irwin, R. John. |t Appraising credit ratings : does the CAP fit better than the ROC? |d [Washington, District of Columbia] : International Monetary Fund, ©2012 |h 23 pages |k IMF working paper ; WP/12/122 |z 9781475503517 |
| 830 | 0 | |a IMF working paper ; |v WP/12/122. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2012/122/001.2012.issue-122-en.xml |y INTERNATIONAL MONETARY FUND |
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| 928 | |t Library of Congress classification |a HG3881.5.I58 |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2012/122/001.2012.issue-122-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 13654348 | ||