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.
- Language
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Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 2202
- Classification
-
Wirtschaft
Econometric and Statistical Methods: Special Topics: General
Forecasting Models; Simulation Methods
- Subject
-
credit rating
probability forecasts
calibration
Prognoseverfahren
Ratingagentur
Schätzung
Welt
- Event
-
Geistige Schöpfung
- (who)
-
Kraemer, Walter
Güttler, André
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
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
- Kraemer, Walter
- Güttler, André
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2008
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Comparing the Accuracy of Default Predictions in the Rating Industry: The Case of Moody's vs. S&P
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Comparing default predictions in the rating industry for different sets of obligors
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Empirics of Korean shipping companies' default predictions
Accuracy of food preference predictions in couples
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Comparing forecast accuracy in small samples
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Comparing the Accuracy of Default Predictions in the Rating Industry: The Case of Moody's vs. S&P
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Comparing default predictions in the rating industry for different sets of obligors
Comparing Default Predictions in the Rating Industry for Different Sets of Obligors
Partial orderings of default predictions
Empirics of Korean shipping companies' default predictions
Accuracy of food preference predictions in couples
Accuracy of food preference predictions in couples
Accuracy of food preference predictions in couples
Comparing forecast accuracy in small samples
Comparing Forecast Accuracy in Small Samples