Comparing the accuracy of default predictions in the rating industry for different sets of obligors

Walter Krämer and Simon Neumärker

Economics Letters, 2016, vol. 145, issue C, 48-51

Abstract: We generalize the refinement ordering for well calibrated probability forecasts to the case were the debtors under consideration are not necessarily identical. This ordering is consistent with many well known skill scores used in practice. We also add an illustration using default predictions made by the leading rating agencies Moody’s and S&P.

Keywords: Moody’s; S&P; Probability forecasts; Skill scores (search for similar items in EconPapers)
JEL-codes: C4 G2 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:145:y:2016:i:c:p:48-51

DOI: 10.1016/j.econlet.2016.05.021

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