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

dc.contributor.author	Krämer, Walter
dc.contributor.author	Neumärker, Simon
dc.date.accessioned	2016-02-02T14:54:59Z
dc.date.available	2016-02-02T14:54:59Z
dc.date.issued	2016
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/34499
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-16552
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;8/2016	en
dc.subject	Moody's	en
dc.subject	probability forecasts	en
dc.subject	S&P	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Comparing default predictions in the rating industry for different sets of obligors	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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