FRM Part II · FRM Exam Part II · Credit Scoring and Rating
A risk analyst computes the Gini (accuracy ratio) for a retail scorecard and finds an AUC of 0.80 from the ROC curve. What is the corresponding accuracy ratio?
The accuracy ratio (Gini) equals 2 times AUC minus 1, so an AUC of 0.80 gives 0.60. This scales random discrimination (AUC 0.5) to zero and perfect discrimination (AUC 1.0) to one.
- A0.20
- B0.60Correct
- C0.80
- D0.64
Explanation
The accuracy ratio equals 2 × AUC − 1 = 2 × 0.80 − 1 = 0.60. Checking: AUC of 0.5 gives 0 (random), and 1.0 gives 1 (perfect), consistent with the linear mapping. A value of 0.64 would come from squaring AUC, which is not the relationship.
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