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

DOI10.1016/J.ECONLET.2016.05.021zbMATH Open1400.62324OpenAlexW2398998810MaRDI QIDQ1670155FDOQ1670155

Authors: Peng Zhang 

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.05.021

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zbMATH Keywords

probability forecastsMoody'sS\&Pskill scores

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Scoring rules and the evaluation of probabilities. (With discussion)
• Title not available (Why is that?)
• Disagreement between rating agencies and bond opacity: a theoretical perspective

Cited In (3)

• On multi-class prediction of issuer credit ratings
• On assessing the relative performance of default predictions
• Skill scores and modified Lorenz domination in default forecasts

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