IMF paper evaluates credit risk assessment methods

IMF headquarters in Washington DC

A working paper released by the International Monetary Fund in May investigates whether the cumulative accuracy profile (CAP) or the receiver operating characteristic (ROC) analysis methods work best in evaluating credit risk.

Authors R John Irwin and Timothy Irwin explain that ROC and CAP analysis are "alternative methods for evaluating a wide range of diagnostic systems, including assessments of credit risk".

ROC analysis is widely used in many fields, but in finance CAP analysis is more

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