On comparing the accuracy of default predictions in the rating industry

Walter Krämer and Andre Güttler
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Andre Güttler: Universität Frankfurt, Finance Department

Working Papers from Business and Social Statistics Department, Technische Universität Dortmund

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)
Pages: 26 pages
Date: 2006-10
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (2)

Published in Empirical Economics, May 2008, pages 343-356

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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 (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:dor:wpaper:2

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