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

Graphs
  ROC Curve...

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

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

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

step  Click OK.

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