<< Click to Display Table of Contents >> Navigation:  5. Detailed description of the Actions > 5.11. TA - R Visualization > 5.11.15. KS Curve ( action)

 

Icon:

 
Function: R_K-S_Plot
 

Property window:

 

 

Short description:

 

Create a Kolmogorov-Smirnov curve after applying a model.

 

Long Description:

 

Create a Kolmogorov-Smirnov curve after applying a model. The input data consists of an aggregated table (usually deciles) in which we have computed:

 

•Proportion of “bad” in each decile (usually the target)

•Proportion of “good” in each decile

•The decile

 

This curve is often used in credit risk analysis, but is – generally speaking – not a very robust way to evaluate a model as it assumes a normal distribution of the scores which is not appropriate if you work with actual transactional data. Some authors suggest that a logartimic transformation can improve it, but this would only be appropriate if using a logistic regression (which depends on transformed scores, and in general WoE), but not with any ML algortithm that do not use this transformation.