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...

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...

The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not comparable according to the domination ordering suggested by Vardeman and Meeden (1983), that the...

Die finanzwirtschaftliche Bedeutung von Kreditausfällen und Kreditausfall- Prognosen bedarf keiner weiteren Begründung. Dieser Bedeutung angemessen, gibt es inzwischen eine Vielzahl von Modellen und Verfahren, die Ausfallwahrscheinlichkeiten von Bankkrediten oder Industrieanleihen zu...

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...