Die Bewertung und der Vergleich von Kreditausfall-Prognosen
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Die Bewertung und der Vergleich von Kreditausfall-Prognosen
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.