On Comparing the Accuracy of Default Predictions in the Rating Industry
AbstractWe consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P at the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we consider partial orderings among competing probability forecasters and show that Moody's and S&P cannot be ordered according to any of these. Therefore, the relative performance of the agencies depends crucially on the way in which probability predictions are compared.
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Bibliographic InfoPaper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 2202.
Date of creation: 2008
Date of revision:
credit rating; probability forecasts; calibration;
Other versions of this item:
- Walter Krämer & André Güttler, 2008. "On comparing the accuracy of default predictions in the rating industry," Empirical Economics, Springer, vol. 34(2), pages 343-356, March.
- Prof. Dr. Walter Krämer & Andre Güttler, . "On comparing the accuracy of default predictions in the rating industry," Working Papers 2, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
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