On assessing the relative performance of default predictions

DOI10.1002/FOR.2479zbMATH Open1397.62552OpenAlexW2730914943MaRDI QIDQ4687645FDOQ4687645

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

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zbMATH Keywords

rating systemspartial orderingsGini curveROC criterion

Mathematics Subject Classification ID

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

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

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