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
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

If no CC-License is given, pleas contact the the creator, if you want to use thre resource other than only read it.