Authors: Krämer, Walter
Neumärker, Simon
Title: Comparing default predictions in the rating industry for different sets of obligors
Language (ISO): en
Abstract: 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.
Subject Headings: Moody's
probability forecasts
S&P
URI: http://hdl.handle.net/2003/34499
http://dx.doi.org/10.17877/DE290R-16552
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_0816_SFB823_Krämer_Neumärker.pdfDNB278.79 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.