Skill Scores and modified Lorenz domination in default forecasts

Walter Krämer and Simon Neumärker

Economics Letters, 2019, vol. 181, issue C, 61-64

Abstract: We characterize the class of skill scores which comply with a novel partial ordering of probability forecasts based on Lorenz curves and overall default rates.

Keywords: Probability forecasts; Lorenz curves; Rating industry (search for similar items in EconPapers)
JEL-codes: C4 G2 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:181:y:2019:i:c:p:61-64

DOI: 10.1016/j.econlet.2019.05.006

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