I'm trying to compare two different probability of default models together by roc curve.I calculated the PD for 8 company by two different models.I know about the basic of roc curve and i can calculate fpr and tpr. but i don't know how to plot the roc for different threshold in r or Matlab. any help?

edit :apparently roc curve couldn't help with low samples like mine. any other approach for comparing models?


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