Comparing Default Predictions in the Rating Industry for Different Sets of Obligors

Walter Kraemer and Simon Neumärker
Authors registered in the RePEc Author Service: Walter Krämer

No 5768, CESifo Working Paper Series from CESifo

Abstract: We generalize the refinement ordering for well calibrated probability forecasters 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 (search for similar items in EconPapers)
JEL-codes: C40 G20 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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