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dc.contributor.authorOrth, Walteren
dc.date.accessioned2011-05-04T07:31:08Z-
dc.date.available2011-05-04T07:31:08Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/45360-
dc.description.abstractCredit ratings are ordinal predictions for the default risk of an obligor. To evaluate the accuracy of such predictions commonly used measures are the Accuracy Ratio or, equivalently, the Area under the ROC curve. The disadvantage of these measures is that they treat default as a binary variable thereby neglecting the timing of the default events and also not using the full information from censored observations. We present an alternative measure that is related to the Accuracy Ratio but does not suffer from these drawbacks. As a second contribution, we study statistical inference for the Accuracy Ratio and the proposed measure in the case of multiple cohorts of obligors with overlapping lifetimes. We derive methods that use more sample information and lead to more powerful tests than alternatives that filter just the independent part of the dataset. All procedures are illustrated in the empirical section using a dataset of S&P Long Term Credit Ratings.en
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Seminar of Economic and Social Statistics |cCologneen
dc.relation.ispartofseries|aDiscussion Papers in Statistics and Econometrics |x2/10en
dc.subject.jelC41en
dc.subject.jelC52en
dc.subject.jelG17en
dc.subject.jelG24en
dc.subject.jelG32en
dc.subject.ddc330en
dc.subject.keywordratingsen
dc.subject.keywordpredictive accuracyen
dc.subject.keywordAccuracy Ratioen
dc.subject.keywordHarrell's Cen
dc.subject.keywordoverlapping lifetimesen
dc.titleThe predictive accuracy of credit ratings: measurement and statistical inference-
dc.typeWorking Paperen
dc.identifier.ppn656637080en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ucdpse:210en

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