Skill scores and modified Lorenz domination in default forecasts

DOI10.1016/J.ECONLET.2019.05.006zbMath1420.62410OpenAlexW2944266277WikidataQ127925213 ScholiaQ127925213MaRDI QIDQ2311143

Yanyan Li

Publication date: 10 July 2019

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.05.006

zbMATH Keywords

Lorenz curvesprobability forecastsrating industry

Mathematics Subject Classification ID

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

Cites Work

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• Comparing the accuracy of default predictions in the rating industry for different sets of obligors
• Scoring rules and the evaluation of probabilities. (With discussion)
• Disagreement between rating agencies and bond opacity: a theoretical perspective
• On assessing the relative performance of default predictions

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