Comparing the Accuracy of Default Predictions in the Rating Industry: The Case of Moody's vs. S&P

dc.contributor.author	Güttler, André	de
dc.contributor.author	Krämer, Walter	de
dc.date.accessioned	2004-12-06T18:41:11Z
dc.date.available	2004-12-06T18:41:11Z
dc.date.issued	2003	de
dc.description.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.	en
dc.format.extent	120601 bytes
dc.format.extent	2310447 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/4985
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15107
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	credit rating	en
dc.subject	probability forecasts	en
dc.subject	calibration	en
dc.subject.ddc	310	de
dc.title	Comparing the Accuracy of Default Predictions in the Rating Industry: The Case of Moody's vs. S&P	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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