Comparing Default Predictions in the Rating Industry for Different Sets of Obligors

11 Pages Posted: 22 Mar 2016

See all articles by Walter Kraemer

Walter Kraemer

University of Dortmund - Department of Statistics; CESifo (Center for Economic Studies and Ifo Institute)

Simon Neumaerker

Technical University of Dortmund

Date Written: February 24, 2016

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.

Keywords: Moody’s, S&P, probability forecasts

JEL Classification: C400, G200

Suggested Citation

Kraemer, Walter and Neumaerker, Simon, Comparing Default Predictions in the Rating Industry for Different Sets of Obligors (February 24, 2016). CESifo Working Paper Series No. 5768, Available at SSRN: https://ssrn.com/abstract=2752378

Walter Kraemer (Contact Author)

University of Dortmund - Department of Statistics ( email )

D-44221 Dortmund
Germany
0231 755-3125 (Phone)
0231 755-5284 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Simon Neumaerker

Technical University of Dortmund ( email )

Emil-Figge-Straße 50
Dortmund, 44227
Germany

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