De Laurentis Chapter 5

[pascalb]

Hello, chapter 5 in De Laurentis (reading 27 oper risk), there is no mention of cumulative accuracy profile (CAP) and receiver operating characteristic (ROC) curve, yet there is a question (3rd one). It does discuss these in chapter 4 though. Please clarify

 

[David Harper CFA FRM]

@pascalb okay so they are in chapter 4. What's your point? What do you need clarified?

 

[pascalb]

So, will CAP and ROC be possibly tested if they are not on the reading list ie ch 4 vs ch 5

 

[David Harper CFA FRM]

@pascalb i don't know their exact testability. The LO is " Explain how to validate the calibration and the discriminatory power of a rating model" and the CAP/ROC are common for this so I tried to write a question that's helpful to that LO using material from the chapter. (I can see there's a lot of material in that particular chapter--much minutiae in the source, actually--that has virtually no chance of being tested! I like my question for the LO). Feel free to ask GARP about what they will test.