Risk Model Validation
Validate risk models with discrimination and calibration metrics
Validation metrics are fundamental tools for developing, validating, and monitoring risk models. Risk Management Toolbox™ provides a risk model validation namespace that includes a suite of discrimination and calibration metrics. You can leverage these metrics by integrating them into your credit and market risk workflows.
Functions
risk.validation.accuracyRatio | Return accuracy ratio value (Since R2025a) |
risk.validation.areaUnderCurve | Return area under curve (Since R2025a) |
risk.validation.kolmogorovSmirnov | Return Kolmogorov-Smirnov statistic (Since R2025a) |
risk.validation.thresholdMetrics | Return threshold metrics for receiver operating characteristic curve (Since R2025a) |
risk.validation.brierScore | Return Brier score for probability data (Since R2025a) |
risk.validation.groupNumberByQuantile | Group array elements by quantile (Since R2025a) |
risk.validation.binomialTest | Return binomial test result (Since R2025a) |
risk.validation.correlatedBinomialTest | Return correlated binomial test result (Since R2025a) |
risk.validation.hosmerLemeshowTest | Return Hosmer-Lemeshow test result (Since R2025a) |
risk.validation.makeResponseBinary | Discretize continuous response variable (Since R2025a) |
