On assessing the relative performance of default predictions

DOI10.1002/FOR.2479MaRDI QIDQ4687645zbMATH OpenOpenAlexFDO

Authors

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2479

zbMATH Keywords

rating systemspartial orderingsGini curveROC criterion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Credit risk (91G40)

Recommendations

• Comparing the accuracy of default predictions in the rating industry for different sets of obligors
• A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve
• Optimal Threshold from ROC and CAP Curves
• Time to default and other sensitivities of credit ratings
• On multi-class prediction of issuer credit ratings

Cited in

(4)

• On multi-class prediction of issuer credit ratings
• A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve
• Comparing the accuracy of default predictions in the rating industry for different sets of obligors
• Skill scores and modified Lorenz domination in default forecasts

This page was built for publication: On assessing the relative performance of default predictions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687645)