Arbeitspapier
Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P
We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well calibrated, and that the ranking of the agencies depends crucially on the way in which probability predictions are compared.
- Language
-
Englisch
- Bibliographic citation
-
Series: Technical Report ; No. 2003,23
- Subject
-
credit rating
probability forecasts
calibration
Kreditwürdigkeit
Konkurs
Prognoseverfahren
Kreditrisiko
Vergleich
USA
Welt
- Event
-
Geistige Schöpfung
- (who)
-
Krämer, Walter
Güttler, André
- Event
-
Veröffentlichung
- (who)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
-
Dortmund
- (when)
-
2003
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Krämer, Walter
- Güttler, André
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2003
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Kinderhort
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The cult of statistical significance
On the ordering of probability forecasts
Fractional integration and the augmented dickey-fuller test
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The cult of statistical significance. What economists should and should not do to make their data talk
The weak Pareto law and regular variation in the tails