Partial orderings of default predictions

dc.contributor.author	Krämer, Walter
dc.contributor.author	Posch, Peter N.
dc.date.accessioned	2015-08-25T12:20:37Z
dc.date.available	2015-08-25T12:20:37Z
dc.date.issued	2015
dc.description.abstract	We compare and generalize various partial orderings of probability forecasters according to the quality of their predictions. It appears that the calibration requirement is quite at odds with the possibility of some such ordering. However, if the requirements of calibration and identical sets of debtors are relaxed, comparability obtains more easily. Taking default predictions in the credit rating industry as an example, we show for a data base of 5333 (Moody’s) and 6505 ten-year default predictions (S&P), that Moody’s and S&P cannot be ordered neither according to their grade distributions given default or non-default or to their Ginicurves, but Moody’s dominate S&P with respect to the ROC-criterion.	en
dc.identifier.uri	http://hdl.handle.net/2003/34200
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-16279
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;31/2015
dc.subject	probability forecasts	en
dc.subject	partial ordering	en
dc.subject	rating systems	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Partial orderings of default predictions	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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