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The Democrats do fine in presidential elections; their problem is they can't get out the vote in the midterm elections.
-- Ruth Bader Ginsburg  
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Cox proportional hazard model and its applications in financial modeling

Cox proportional hazard model and its applications

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Object-Oriented (OO) design pattern through examples: the factory pattern

In this blog, we will use some real example to illustrate the factory design pattern using python

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

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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