Authors: Güttler, André
Krämer, Walter
Title: Comparing the Accuracy of Default Predictions in the Rating Industry: The Case of Moody's vs. S&P
Language (ISO): en
Abstract: 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 calibrated, and that the ranking of the agencies depends crucially on the way in which probability predictions are compared.
Subject Headings: credit rating
probability forecasts
calibration
URI: http://hdl.handle.net/2003/4985
http://dx.doi.org/10.17877/DE290R-15107
Issue Date: 2003
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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