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Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/49372
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Krämer, Walter | | en_US |
| dc.contributor.author | | Güttler, André | | en_US |
| dc.date.accessioned | | 2011-09-06T11:45:24Z | | - |
| dc.date.available | | 2011-09-06T11:45:24Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/49372 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., SFB 475 Dortmund | | en_US |
| dc.relation.ispartofseries | | Technical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2003,23 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | credit rating | | en_US |
| dc.subject.keyword | | probability forecasts | | en_US |
| dc.subject.keyword | | calibration | | en_US |
| dc.subject.stw | | Kreditwürdigkeit | | en_US |
| dc.subject.stw | | Konkurs | | en_US |
| dc.subject.stw | | Prognoseverfahren | | en_US |
| dc.subject.stw | | Kreditrisiko | | en_US |
| dc.subject.stw | | Vergleich | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.subject.stw | | Welt | | en_US |
| dc.title | | Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 373258100 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:sfb475:200323 | | - |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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