how to get AUROC at 5% false positive

Question

How can I get AUROC at 5% false positives. I am not quite sure how to do that, is it possible to get it from full area under the curve or it has to be calculated from validation set?

Answer 1

You cannot.

A ROC curve displays the trade-off between true and false positive rates (or sensitivity/specificity) by varying the decision threshold over all possible thresholds. Therefore the curve integrates over all possible false positive rates between 0% and 100%. You cannot have a curve for a single false positive rate, only a single point at best.

I suggest to read Understanding ROC curve and the answers to the question on Cross Validated and An introduction to ROC analysis by Fawcett.