CCRQM verification
CCRQM Verification:CCRQM vs. S&P

 

In the past 10 years, the average Receiver Operating Characteristic of default risk is 91.8%

In the past 10 years (2009~2018), the average Receiver Operating Characteristic of default risk is 91.80% which shows that the quantitative models have a strong discriminative ability.

1-year average maintenance ratio of the quantitative models

50-60%

Through the matrix, we can observe the adjustment of the quantitative model. The 1-year average maintenance ratio in 2005~2018 are between 40%-60%, and the singular value is 0.4529, which are similar to those of TCRI™ quantitative model, 40~50% and 0.5~0.6 respectively. Going With appropriate adjustments to level decided by experts, so the ability and stability of credit analysis and long-term investment can be both effectively improved. Also, the volatility of low risk is less than that of high risk.