Wartungsarbeiten: Am 16.01.2025 von ca. 8:00 bis 11:00 Uhr steht Ihnen das System nicht zur Verfügung. Bitte stellen Sie sich entsprechend darauf ein.
 

Comparing default predictions in the rating industry for different sets of obligors

Loading...
Thumbnail Image

Date

2016

Journal Title

Journal ISSN

Volume Title

Publisher

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.

Description

Table of contents

Keywords

Moody's, probability forecasts, S&P

Citation