LendScore vs a bureau score on the same borrowers: how do you test the lift?
Test selectionHardProblem. A lender sends 20,000 past borrowers with outcomes (1,200 defaulted). The bureau score has an AUC of 0.70 on them; LendScore has 0.73. A colleague tests the difference by treating the two AUCs as independent and gets a z of about 2.5. The lender really wants to know whether defaults would drop at its usual 70% approval rate. What tests do you use?
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