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

DOI10.1016/J.ECONLET.2016.05.021zbMath1400.62324OpenAlexW2398998810MaRDI QIDQ1670155

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

zbMATH Keywords

probability forecastsMoody'sS\&Pskill scores

Mathematics Subject Classification ID

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

Related Items (1)

Skill scores and modified Lorenz domination in default forecasts

Cites Work

• Unnamed Item
• Scoring rules and the evaluation of probabilities. (With discussion)
• Disagreement between rating agencies and bond opacity: a theoretical perspective

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