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De Laurentis Chapter 5

pascalb

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Thread starter #1
Hello, chapter 5 in De Laurentis (reading 27 oper risk), there is no mention of cumulative accuracy profile (CAP) and receiver operating characteristic (ROC) curve, yet there is a question (3rd one). It does discuss these in chapter 4 though. Please clarify
 

David Harper CFA FRM

David Harper CFA FRM
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#4
@pascalb i don't know their exact testability. The LO is " Explain how to validate the calibration and the discriminatory power of a rating model" and the CAP/ROC are common for this so I tried to write a question that's helpful to that LO using material from the chapter. (I can see there's a lot of material in that particular chapter--much minutiae in the source, actually--that has virtually no chance of being tested! I like my question for the LO). Feel free to ask GARP about what they will test.
 
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