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Statistics Colloquium/PhD Defense
February 23 Friday, 11 a.m.
Alavi Commons Room, 6625 Everett Tower
Bilal Yurdakul
Quantitative Statistical Analyst, Vice President
SunTrust Bank
Greater Atlanta Area
Abstract:
Population stability is an important concept in model management. It is crucial to
monitor whether the current population has changed from the population used during development
of a model.
For example, has the distribution of credit scores changed, and is the existing
credit score model still valid?
Population change may occur for many reasons--change in the economic environment,
strategic change in the business, policy changes within the company, or changes
in regulatory environment.
The population stability index (PSI) is a statistic that measures how much a variable has shifted over time, and is used to monitor applicability of a statistical model to the current population. In banking for example, a high PSI may result in an internal investigation of the reasons behind the change, or an audit by the Federal Reserve Bank. Since banks are heavily regulated by FRB, an unsuitable use of a model means additional risk.
There are not many studies about the statistical properties of PSI.
Existing rules of thumb are:
PSI < 0.10 means "little shift", .10<PSI<.25 means "moderate shift", and PSI>0.25
means "significant shift, action required".
However, these benchmarks are being used without reference to Type I or Type II error rates.
This thesis will try to fill the
gap by providing statistical properties of PSI and some recommendations
for the rules of thumb.
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All statistics graduate students are expected to attend.