Financially Motivated Model Performance Measures

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2005Publisher:Elsevier BVJournal:The Journal of Credit Risk, volume 2, pages 69-81 (issn: 1744-6619,

Copyright policy )

Authors: Craig Friedman; Sven Sandow;

doi: 10.2139/ssrn.828925 , 10.21314/jcr.2006.035

Financially Motivated Model Performance Measures

- Summary
- Metrics

Abstract

Since probabilistic models are now widely used for financial decision-making, model performance measurement is critically important. We discuss model performance measures that explicitly reflect the financial consequences of decisions based on the models and show how these model performance measures can uncover deficiencies in credit risk models that remain undetected by many popular measures.

Related Organizations

Standard & Poor's
United States
TIAA–CREF
United States

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	2
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average