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How to calculate monetary benefit from higher Gini

serge_k

New Member
Hi,

Does anyone know how to translate an increase model performance into actual monetary gain?

For example lets say you currently have a working model, which calculates the probability of default for incoming clients and it has a Gini of 60%. Now, you sat down and worked out a new model, which does the same thing but has a Gini of 75%. How could we calculate the effect on the profitability of the bank from using the new model with higher Gini?

Thank in advance.
 
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