Creating and validating risk models [31]

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Bullet points include: Cumulative accuracy profiles (CAPs) Simultaneously measures Type 1 and Type 2 errors Companies are first ordered by model score, from riskiest to safest. CAP curve is constructed by calculating, for given fraction of total number of companies, x%, the percentage y(x) of the defaulters whose risk score is equal to or lower than the one for fraction x.

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