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

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.

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Year of publication:	2016
Authors:	Krämer, Walter ; Neumärker, Simon
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	Moody’s \| S&P \| probability forecasts

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Series:	CESifo Working Paper ; 5768
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	848452712 [GVK] hdl:10419/130391 [Handle] RePec:ces:ceswps:_5768 [RePEc]
Classification:	C40 - Econometric and Statistical Methods: Special Topics. General ; G20 - Financial Institutions and Services. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10011451384