Comparing the accuracy of default predictions in the rating industry for different sets of obligors

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 145
Issue: C
Pages: 48-51

Authors (2)

Krämer, Walter (Universität Dortmund) Neumärker, Simon (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We generalize the refinement ordering for well calibrated probability forecasts 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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:145:y:2016:i:c:p:48-51
Journal Field
General
Author Count
2
Added to Database
2026-01-25