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dc.contributor.authorKrämer, Walteren
dc.contributor.authorGüttler, Andréen
dc.date.accessioned2011-09-06T11:45:24Z-
dc.date.available2011-09-06T11:45:24Z-
dc.date.issued2003-
dc.identifier.urihttp://hdl.handle.net/10419/49372-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmunden
dc.relation.ispartofseries|aTechnical Report |x2003,23en
dc.subject.ddc519en
dc.subject.keywordcredit ratingen
dc.subject.keywordprobability forecastsen
dc.subject.keywordcalibrationen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwKonkursen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwKreditrisikoen
dc.subject.stwVergleichen
dc.subject.stwUSAen
dc.subject.stwWelten
dc.titleComparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P-
dc.typeWorking Paperen
dc.identifier.ppn823205029en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb475:200323en

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