Arbeitspapier
On comparing the accuracy of default predictions in the rating industry
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 2202
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods: Special Topics: General
Forecasting Models; Simulation Methods
- Thema
-
credit rating
probability forecasts
calibration
Prognoseverfahren
Ratingagentur
Schätzung
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kraemer, Walter
Güttler, André
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kraemer, Walter
- Güttler, André
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2008
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