Florian Resch

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

SCHOLARLY PAPERS

2

DOWNLOADS

291

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Pitfalls and Remedies in Testing the Calibration Quality of Rating Systems

22nd Australasian Finance and Banking Conference 2009
Number of pages: 41 Posted: 24 Aug 2009 Last Revised: 05 Nov 2009
Wolfgang Aussenegg, Florian Resch and Gerhard Winkler
Vienna University of Technology, Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 210 (205,816)

Abstract:

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Rating System, Validation, Calibration Quality

2.

Advances in Multivariate Back-testing for Credit Risk Underestimation

ECB Working Paper No. 1885
Number of pages: 35 Posted: 05 Jul 2016
National Bank of Belgium, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), European Central Bank (ECB) and Deutsche Bundesbank
Downloads 81 (419,675)

Abstract:

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credit ratings, probability of default, back-testing, one-sided