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http://dx.doi.org/10.5351/KJAS.2008.21.6.1065

Modified Kolmogorov-Smirnov Statistic for Credit Evaluation  

Hong, C.S. (Dept. of Statistics, Sungkyunkwan University)
Bang, G. (Research Institute of Applied Statistics, Sungkyunkwan University)
Publication Information
The Korean Journal of Applied Statistics / v.21, no.6, 2008 , pp. 1065-1075 More about this Journal
Abstract
For the model validation of credit rating models, Kolmogorov-Smirnov(K-S) statistic has been widely used as a testing method of discriminatory power from the probabilities of default for default and non-default. For the credit rating works, K-S statistics are to test two identical distribution functions which are partitioned from a distribution. In this paper under the assumption that the distribution is known, modified K-S statistic which is formulated by using known distributions is proposed and compared K-S statistic.
Keywords
Credit rating model; score; discriminatory power; distribution function; nonparametric test; probability of default; risk; validation;
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