Schlagwort: Calibration
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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 (...)
On the ordering of probability forecasts
The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not (...)