5.10.15. KS Curve (clip0243 action)

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5.10.15. KS Curve (clip0243 action)

 

Icon: ANATEL~3_img809

 

Property window:

 

ANATEL~3_img808

 

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.