Divergence Statistic

From Open Risk Manual

Definition

The Divergence Statistic is a measure of the distance between two distributions. It is typically used in assessing the ability of a Credit Scorecarc to distinguish between the good and bad populations

Formula

Failed to parse (unknown function "\pt"): D^2 = \frac{\pi_G - \pt_B)^2}{(\sigma^2_G + \sigma^2_B)/2}

See Also

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