Working Paper

Comparing Default Predictions in the Rating Industry for Different Sets of Obligors

Walter Kraemer, Simon Neumärker
CESifo, Munich, 2016

CESifo Working Paper No. 5768

We generalize the refinement ordering for well calibrated probability forecasters to the case were the debtors under consideration are not necessarily identical. This ordering is consistent with many well known skill scores used in practice. We also add an illustration using default predictions made by the leading rating agencies Moody’s and S&P.

CESifo Category
Empirical and Theoretical Methods
Monetary Policy and International Finance
Keywords: Moody's, S&P, probability forecasts
JEL Classification: C400, G200