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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
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http://hdl.handle.net/10419/49372
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| Title: | | Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P  |
| Authors: | | Krämer, Walter Güttler, André |
| Issue Date: | | 2003 |
| Series/Report no.: | | Technical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2003,23 |
| Abstract: | | We consider 1927 borrowers from 54 countries who had a credit rating by both Moodys and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well calibrated, and that the ranking of the agencies depends crucially on the way in which probability predictions are compared. |
| Subjects: | | credit rating probability forecasts calibration |
| Document Type: | | Working Paper |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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