Calibration

Statistik/Ökonometrie

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...

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Statistik/Ökonometrie

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...

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