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Keywords: Machine learning
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Journal Articles
From the Fermi–Dirac distribution to PD curves
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2019) 20 (2): 138–154.
Published: 11 March 2019
...Vivien Brunel Purpose In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using cumulative accuracy profile (CAP) and receiving operating characteristic curves. The purpose of this paper is to use the statistics of the CAP curve...
