Divergence Statistic
From Open Risk Manual
Revision as of 21:01, 11 September 2020 by Wiki admin (talk | contribs)
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}
