Difference between revisions of "Portfolio Stability Index"
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== Formula == | == Formula == | ||
:<math> | :<math> | ||
| − | PSI = \sum_i (\frac{A_i}{A_T} | + | \mbox{PSI} = \sum_i (\frac{A_i}{A_T} - \frac{M_i}{M_T}) log(\frac{\frac{A_i}{A_T}}{\frac{M_i}{M_T}}) |
</math> | </math> | ||
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* <math>M_i</math> is modelled default rate for class i | * <math>M_i</math> is modelled default rate for class i | ||
* <math>A_T, M_T</math> are the total actual and modelled default rates respectively | * <math>A_T, M_T</math> are the total actual and modelled default rates respectively | ||
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== See Also == | == See Also == | ||
Latest revision as of 17:32, 17 February 2022
Contents
Definition
Portfolio Stability Index (PSI, more general: Population Stability Index) is a measure of the divergence of frequency distributions between two samples (typically over time)
Usage
The index is used to measure the divergence between a development sample and the current portfolio as part of monitoring or Credit Scorecard Validation.
Formula
where
-
is the i-th Credit Score band -
is actual default rate for class i -
is modelled default rate for class i -
are the total actual and modelled default rates respectively
