How do you test whether a new credit risk scoring model works?

Data Science Interview Questions › Category: Data Science › How do you test whether a new credit risk scoring model works?
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MockInterview Staff asked 6 years ago
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MockInterview Staff answered 6 years ago
  • est on a holdout set
  • Kolmogorov-Smirnov test

Kolmogorov-Smirnov test:
– Non-parametric test
– Compare a sample with a reference probability distribution or compare two samples
– Quantifies a distance between the empirical distribution function of the sample and the cumulative distribution function of the reference distribution
– Or between the empirical distribution functions of two samples
– Null hypothesis (two-samples test): samples are drawn from the same distribution
– Can be modified as a goodness of fit test
– In our case: cumulative percentages of good, cumulative percentages of bad
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