News

September 2017 The research seminar is held every Wednesday, 1.15 – 2.45 p.m., in room LG 0.423.
Exceptions: On 11/15/2017, 11/22/2017 and 12/13/2017 the event is held in room 4.154!
Here you can download the Program-for-winter-term-2017/18
11/29/2017

Room LG 0.423

Walter Krämer, Technische Universität Dortmund
“On rating the raters – comparing default predictions in the rating industry”

 

Abstract:

Predicting defaults and rating the quality of obligors has become a major business in credit markets.
So it is natural to ask whether e.g. Moodys’ or S+P provide superior default predictions. It emerges that such comparisons are nontrivial and that different rankings are obtained depending on the particular measure for forecasting precision. As a remedy, partial orderings of default predicitons are suggested that do not depend on specific criteria of forecasting precision.