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-- Ruth Bader Ginsburg

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Test the performance of a PD model: CAP curve and Accuracy Ratio

Zhuo Yu,

Director at Bank of America

posted
Apr 17, 2020

In credit risk modeling, the cumulative accuracy profile (CAP) is a way to visualize the discriminative power of a PD model.

The following steps to get a CAP curve

The plot below illustrate a CAP curve. For example, 80% of default occurred amount the population with top 20% of PD,

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