比较评级行业对不同类型债务人的违约预测

W. Kraemer, Simon Neumaerker
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引用次数: 0

摘要

我们将精心校准的概率预测者的改进顺序推广到所考虑的债务人不一定相同的情况。这种顺序与实践中使用的许多众所周知的技能分数一致。我们还使用主要评级机构穆迪(Moody 's)和标准普尔(S&P)做出的违约预测来说明。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Comparing Default Predictions in the Rating Industry for Different Sets of Obligors
We generalize the refinement ordering for well calibrated probability forecasters to the case were the debtors under consideration are not necessarily identical. This ordering is consistent with many well known skill scores used in practice. We also add an illustration using default predictions made by the leading rating agencies Moody’s and S&P.
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