To run a ROC Curve analysis, from the menus choose:

Graphs
ROC Curve...

Select Predicted default, model 1, Predicted default, model 2, and Predicted default, model 3 as test variables.

Select Previously defaulted as the state variable and type 1 as its positive value.

Select With diagonal reference line and Standard error and confidence interval.

Click OK.

These selections produce ROC curves for how well the three models predict loan default and estimates of the areas under each curve.