Florian Resch

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

  • Oesterreichische Nationalbank (OeNB)

SCHOLARLY PAPERS

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Scholarly Papers (2)

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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)

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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
François Coppens, Manuel Mayer, Laurent Millischer, Florian Resch, Stephan Sauer and Klaas Schulze
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)

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