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 Business and Social Statistics Department, Technische Universität Dortmund in its series Working Papers with number 2.
Length: 26 pages
Date of creation:
Date of revision: Oct 2006
Publication status: Published in Empirical Economics, May 2008, pages 343-356
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.
- André Güttler & Walter Kraemer, 2008. "On Comparing the Accuracy of Default Predictions in the Rating Industry," CESifo Working Paper Series 2202, CESifo Group Munich.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Prof. Dr. Walter Krämer, .
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1, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2003.
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