Zur Verwendung des Altmanschen Z''-Scores als Benchmark für die Trennschärfe von Ratingfunktionen

Abstract

Altman's Z''-Score represents an international benchmark model to evaluate rating functions. The Z''-Score - for US-American companies - can be linked with the ratings of Standard & Poor's and, subsequently, associated with estimated probabilities of default. We examine this calibrating relationship empirically for German companies with Standard & Poor's or Moody's rating and address some application problems.