Abstract
AbstractWe compare the accuracy of default predictions as, for instance, produced by professional rating agencies. We extend previous results on partial orderings to nonidentical sets of obligors and show that the calibration requirement virtually rules out the possibility of some partial orderings and that the partial ordering based on the ROC curve is most easily achieved in practice. As an example, we show for more than 5,000 firms rated by Moody's and S&P that these ratings cannot be ranked according to their grade distributions given default or nondefault, but that Moody's dominate S&P with respect to the ROC criterion and the Gini curve.
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