Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/49372
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dc.contributor.authorKrämer, Walteren_US
dc.contributor.authorGüttler, Andréen_US
dc.date.accessioned2011-09-06T11:45:24Z-
dc.date.available2011-09-06T11:45:24Z-
dc.date.issued2003en_US
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_US
dc.language.isoengen_US
dc.publisher|aUniv., SFB 475 |cDortmunden_US
dc.relation.ispartofseries|aTechnical Report // Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen |x2003,23en_US
dc.subject.ddc330en_US
dc.subject.keywordcredit ratingen_US
dc.subject.keywordprobability forecastsen_US
dc.subject.keywordcalibrationen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwKonkursen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwVergleichen_US
dc.subject.stwUSAen_US
dc.subject.stwWelten_US
dc.titleComparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&Pen_US
dc.typeWorking Paperen_US
dc.identifier.ppn823205029en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb475:200323-

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