Kolmogorov-Smirnov Curve
Shows how strong is the difference between the distributions
of the “Bad” and “Good” borrowers
Kolmogorov-Smirnov curve shows the difference between the distribution of “Goods” and “Bads”. The maximum difference between “Goods”
and “Bads” distribution known as a Kolmogorov-Smirnov value, that is often used together with Gini value to asses scorecard quality.
This point is the maximal
difference between the
distribution of “Good” and
“Bad” customers
Kolmogorov-Smirnov values usually calculated not only for the dataset that was used to create scorecard (training set), but also for a
separate out-of-sample validation dataset. Kolmogorov-Smirnov values for training and validation datasets should be close to each other.
When several scorecards compared, preference is given to the one with the highest Kolmogorov-Smirnov value.
Unacceptable
Kolmogorov-Smirnov curves
• Kolmogorov-Smirnov for training and validation
subsets are not similar
• Kolmogorov-Smirnov value is very small
• Is not high enough
• Curve shape is not smooth
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