Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P
AbstractWe consider 1927 borrowers from 54 countries who had a credit rating by both Moodys and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well calibrated, and that the ranking of the agencies depends crucially on the way in which probability predictions are compared. --
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Bibliographic InfoPaper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2003,23.
Date of creation: 2003
Date of revision:
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credit rating; probability forecasts; calibration;
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- Krämer, Walter, 2002.
"On the ordering of probability forecasts,"
Technical Reports, Technische UniversitÃ¤t Dortmund, Sonderforschungsbereich 475: KomplexitÃ¤tsreduktion in multivariaten Datenstrukturen
2002,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Prof. Dr. Walter Krämer, . "On the ordering of probability forecasts," Working Papers, Business and Social Statistics Department, Technische UniversitÃ¤t Dortmund 1, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2003.
- Christophe Godlewski, 2004. "Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies ?," Finance, EconWPA 0409023, EconWPA.
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