On Comparing the Accuracy of Default Predictions in the Rating Industry

André Güttler and Walter Kraemer
Authors registered in the RePEc Author Service: Walter Krämer

No 2202, CESifo Working Paper Series from CESifo

Abstract: We 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.

Keywords: credit rating; probability forecasts; calibration (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: On comparing the accuracy of default predictions in the rating industry (2008)
Working Paper: On comparing the accuracy of default predictions in the rating industry (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_2202

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