Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P

We 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.

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Year of publication:	2003
Authors:	Krämer, Walter ; Güttler, André
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Kreditwürdigkeit \| Konkurs \| Prognoseverfahren \| Kreditrisiko \| Vergleich \| USA \| Welt \| credit rating \| probability forecasts \| calibration

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Series:	Technical Report ; 2003,23
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	823205029 [GVK] hdl:10419/49372 [Handle] RePEc:zbw:sfb475:200323 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010306287