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51
28.06.2022
to the models and improve their forecast quality according to the ROC AUC metric.
Additionally, we train our probability of default models for each industrial
100%
0% 20% 40% 60% 80% 100%
FR
% of predicted obs.
(a) AUC = 89% for correlation of actual and (b) CLAR = 77% for correlation of
smooth out
temporary mismatches, the Bank of Russia carried out fine-tuning repo auc
tions and long-term repo auctions.
Ensuring stability in the financial market. In
amount of 128.7 billion; of credit institutions through an open auc-
on 25 October 2019, permanent management tion held for the shares of
03 1.02
Crisis only 1.03 1.08 1.11 1.04
Crisis probability (AUC)
Probit model 0.71
Quantile LPM 0.69
6
56
19.03.2020
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2018 was stable at 197 billion and credit institutions’ participation in deposit auc-
(in 2017, 195 billion). tions. From 1 October 2018, the Bank of
cross-validation set and the test set with almost unchanged values of ROC-
AUC measures can be a sign of a significant difference in the data
left as standing refinancing facilities:
of Russia increased the frequency of ‘fine-tuning’ auc- loans secured by securities and loans secured by non-
tions. One- to
кредитного разрыва заранее выявлять грядущий пик на основании площади под ROC-
кривой (AUC). Этот статистический метод позволяет отразить соотношение между верными
и ложными сигналами при