FRM Part II · FRM Exam Part II · Credit Scoring and Retail Credit Risk Management
A validator reports that a behavioral scorecard has an AUC of 0.80 on the validation sample. Using the standard relationship between AUC and the Gini coefficient (accuracy ratio), what is the Gini coefficient?
The Gini coefficient equals twice the AUC minus one. With an AUC of 0.80, Gini is 2 times 0.80 minus 1, which equals 0.60. The Gini measures discriminatory power relative to a random model, whose AUC of 0.5 gives a Gini of zero.
- A0.20
- B0.60Correct
- C0.64
- D0.80
Explanation
Gini = 2 x AUC - 1 = 2(0.80) - 1 = 0.60. Reporting 0.20 subtracts AUC from 1 instead. Squaring AUC gives 0.64, which is not the relationship.
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