Accuracy of credit risk assessment model evaluation system and accuracy evaluation method

摘要

PROBLEM TO BE SOLVED: To allow a model evaluator to evaluate the accuracy of a credit risk evaluation model requested from a model owner without making it necessary for the model owner to disclose the credit risk evaluation model, or for the model evaluator to own the financial data of a large number of enterprises.;SOLUTION: This system is configured to perform the accuracy evaluation of a model requested from the owner of a model for credit risk evaluation for evaluating the bankruptcy probability of a company without grasping the overall contents of the model. This system is provided with a data fetching part 34 for acquiring credit risk evaluation calculation operated by substituting data for accuracy evaluation with response with each of a plurality of partial model formulas configuring a model formula to be used for the model, a ranking result integrating part 40 for integrating the results of the acquired credit risk evaluation calculation and a model accuracy evaluating part 46 for comparing the result integrated by the ranking result integrating part 40 with a preliminarily decided accuracy evaluation standard, and for evaluating the accuracy of the model based on the comparison result.;COPYRIGHT: (C)2005,JPO&NCIPI