IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb475/200323.html
   My bibliography  Save this paper

Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P

Author

Listed:
  • Krämer, Walter
  • Güttler, André

Abstract

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's 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.

Suggested Citation

  • Krämer, Walter & Güttler, André, 2003. "Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P," Technical Reports 2003,23, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  • Handle: RePEc:zbw:sfb475:200323
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/49372/1/373258100.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Prof. Dr. Walter Krämer, "undated". "On the ordering of probability forecasts," Working Papers 1, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2003.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christophe Godlewski, 2004. "Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies ?," Finance 0409023, EconWPA.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200323. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics). General contact details of provider: http://edirc.repec.org/data/isdorde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.