Classification Table

Figure 1. Classification table for model with Cauchit link
Classification table showing account status in the rows and predicted response category (payments current or critical account) in the columns.

The Cauchit model seems to be slightly better at predicting the lower categories (1, 2, and 3) and slightly worse at predicting the higher categories than the previous model. Since the most important goal of credit scoring is to correctly identify accounts that are likely to become critical (category 5), you would probably choose to retain the complementary log-log model, even though the fit statistics favor the Cauchit model.

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