Schlagwort: Probability forecasts
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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 (...)
Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
This note gives an easily verified necessary and sufficient condition for one probability forecaster to empirically outperform another one in terms of all strictly proper scoring (...)
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 (...)