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How to calculate monetary benefit from higher Gini


New Member

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.