Comparing Default Predictions in the Rating Industry for Different Sets of Obligors
11 Pages Posted: 22 Mar 2016
Date Written: February 24, 2016
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.
Keywords: Moody’s, S&P, probability forecasts
JEL Classification: C400, G200
Suggested Citation: Suggested Citation