2 papers
stat.AP2026
The Gini-Bayes Connection: The CAP Slope as Bayes' Theorem, with Applications to Weight of Evidence, Somers' , and Calibration
Denis Burakov
The probabilistic reading of the cumulative accuracy profile (CAP) has a long industry lineage. Falkenstein, Boral and Carty (2000) state, in discrete form, that the default rate a…
stat.ML2025
An Information-Theoretic Framework for Credit Risk Modeling: Unifying Industry Practice with Statistical Theory for Fair and Interpretable Scorecards
Agus Sudjianto, Denis Burakov
Credit risk modeling relies extensively on Weight of Evidence (WoE) and Information Value (IV) for feature engineering, and Population Stability Index (PSI) for drift monitoring, y…