Comparing default predictions in the rating industry for different sets of obligors
Loading...
Date
2016
Authors
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