Journal of Risk Model Validation

Understanding performance measures for validating default risk models: a review of performance metrics

Jorge R. Sobehart, Sean C. Keenan


This article provides a review of frequently used performance metrics for default risk models and rating systems such as power curves, rank statistics and information entropy measures and addresses the recent criticism of these techniques. We highlight technical flaws in the analyses on which these criticisms are based.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here