How to Compare Two PD Models with a Paired Bootstrap
Compare discrimination from two PD models on the same matured validation cohort with a paired, stratified bootstrap confidence interval for the AUC difference.
Credit risk topic
Validation and governance
Backtest, challenge, document, and govern credit-risk models.
Guides and worked examples
A Step-by-Step Credit Risk Model Monitoring Framework
A practical monitoring workflow for PD, LGD, EAD, and IFRS 9 ECL: align populations and horizons, calculate core metrics, interpret uncertainty, and set review actions without relying on universal thresholds.
Reading PD Backtests When Defaults Are Rare
Use confidence intervals and an exact binomial tail check to interpret a one-year PD backtest when default counts are small. Learn the assumptions, calculate a synthetic example, and understand what a non-significant result does—and does not—show.
Discrimination: ROC-AUC, Gini, and KS
Measure ranking ability while keeping class balance, horizon, and threshold context visible.
Calibration backtesting and observed-to-expected
Compare probability forecasts with matured outcomes and explain sampling noise.
PSI, CSI, and drift monitoring
Compare population and feature distributions while disclosing bins, smoothing, and threshold limitations.
Portfolio outcomes and model governance
Bring migration, vintage, recovery, EAD, and ECL outcomes into a controlled model lifecycle.