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Title:Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P PDF Logo
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 Moody’s 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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