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Krämer, W. Die Bewertung und der Vergleich von Kreditausfall-Prognosen. Credit and Capital Markets – Kredit und Kapital, 36(3), 395-410. https://doi.org/10.3790/ccm.36.3.395
Krämer, Walter "Die Bewertung und der Vergleich von Kreditausfall-Prognosen" Credit and Capital Markets – Kredit und Kapital 36.3, 2003, 395-410. https://doi.org/10.3790/ccm.36.3.395
Krämer, Walter (2003): Die Bewertung und der Vergleich von Kreditausfall-Prognosen, in: Credit and Capital Markets – Kredit und Kapital, vol. 36, iss. 3, 395-410, [online] https://doi.org/10.3790/ccm.36.3.395

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Die Bewertung und der Vergleich von Kreditausfall-Prognosen

Krämer, Walter

Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 3 : pp. 395–410

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Walter Krämer, Dortmund

References

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Abstract

Evaluation and Comparison of Default Forecasts in the Rating Industry

This article shows that probability forecasts may in many respects be ranked in terms of quality. It makes clear in particular that correspondence of the predicted default probability and the relative frequency of the actual defaults is no quality guarantee in itself. The latter would only be the case when the predicted default probability is near 0% and near 100%. In addition, this article discusses various scalar measures permitting a ranking of the forecasting quality.