Stefan Pichler

WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

Heiligenstaedter Strasse 46-48

Wien 1190

Austria

VGSF (Vienna Graduate School of Finance)

Heiligenstaedter Strasse 46-48

Vienna, 1190

Austria

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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Top 18,792

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59

CROSSREF CITATIONS

13

Scholarly Papers (18)

1.

Benchmarking Credit Rating Systems

Number of pages: 29 Posted: 17 Sep 2006
Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB), WU (Vienna University of Economics and Business), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)
Downloads 853 (53,793)
Citation 1

Abstract:

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rating validation, benchmarking, rating agreement, rating association, financial market integration, transition economies

2.

Parsimonious Estimation of Credit Spreads

Number of pages: 24 Posted: 28 Apr 2002
Rainer Jankowitsch and Stefan Pichler
WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 658 (75,667)
Citation 3

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credit spreads, estimation, yield curve estimation, joint estimation, cubic splines, Svensson

3.

Validation of Credit Rating Systems Using Multi-Rater Information

Number of pages: 35 Posted: 20 Dec 2005
Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, WU (Vienna University of Economics and Business), Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)
Downloads 621 (81,358)
Citation 4

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rating validation, benchmarking, rating agreement, rating association, rating bias, Kemeny-Snell metric, multi-dimensional scaling, minimal spanning tree

4.

An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters

22nd Australasian Finance and Banking Conference 2009
Number of pages: 28 Posted: 17 Aug 2009
Damir Filipović, Nils Friewald and Stefan Pichler
École Polytechnique Fédérale de Lausanne, Norwegian School of Economics (NHH) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 589 (86,941)

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snowball floater, bermudan option, least squares Monte Carlo, nested Monte Carlo simulation

5.

Measuring the Liquidity Impact on Emu Government Bond Prices

Number of pages: 42 Posted: 22 Mar 2002
Center for Central European Financial Markets (CCEFM), WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 584 (87,939)
Citation 9

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Government bond markets, bond pricing, liquidity, liquidity measures, panel-data analysis

6.

Rating Granularity and Basel Ii Capital Requirements

Number of pages: 21 Posted: 05 Jan 2004
WU (Vienna University of Economics and Business), Vienna University of Technology - Department of Accounting and Controlling and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 576 (89,418)

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Rating system, cohort method, Basel, banking regulation, capital requirements, probability of default, Beta distribution, Jensen's inequality

7.

Currency Dependence of Corporate Credit Spreads

Number of pages: 29 Posted: 06 May 2003
Rainer Jankowitsch and Stefan Pichler
WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 572 (90,203)

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credit spreads, currency dependence, multi-curve estimation, corporate bonds

8.

Measuring Systematic Risk in Emu Government Yield Spreads

Review of Finance, Vol. 8, No. 2, pp. 171-197, 2004
Number of pages: 41 Posted: 12 May 2003 Last Revised: 15 Sep 2011
Alois Geyer, Stephan Kossmeier and Stefan Pichler
VGSF / WU, Vienna University of Technology - Department of Financing of Industry and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 550 (94,799)
Citation 35

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Credit Spread, EMU, Affine Term Structure Model, Intensity Model, Multi-Issuer Model, Kalman Filter

9.

Empirical Analysis of European Government Yield Spreads

Number of pages: 24 Posted: 26 Apr 2001
Alois Geyer, Stephan Kossmeier and Stefan Pichler
VGSF / WU, Vienna University of Technology - Department of Financing of Industry and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 516 (102,602)
Citation 7

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European Government Bonds, Government Yiels Spreads, Bond Pricing, Default Risk, State-Space Approach, Kalman

10.

A Latent Variable Approach to Validate Credit Rating Systems

Number of pages: 14 Posted: 19 Sep 2008
Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, WU (Vienna University of Economics and Business), Vienna University of Economics and Business - Department of Statistics and Mathematics, Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)
Downloads 402 (137,750)

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Rating validation, latent variable, latent trait, probability of default

11.

Banking Regulation and Network-Topology Dependence of Iterative Risk-Trading Games

Number of pages: 21 Posted: 22 Mar 2002
Rudolf Hanel, Stefan Thurner and Stefan Pichler
University of Vienna - Department of Biomedical Engineering and Physics, Institute for Science of Complex Systems, Medical University of Vienna and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 258 (220,652)
Citation 5

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Banking Regulation, Bank Default, Network-topology Dependence, Risk-trading Game, Dynamic Decision Making Process

12.

Sell or Hold? On the Value of Non Performing Loans and Mandatory Write-Off Rules

Number of pages: 40 Posted: 23 Nov 2020 Last Revised: 26 May 2021
Florian Pauer and Stefan Pichler
Vienna University of Economics and Business - Department of Finance, Accounting & Statistics and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 257 (221,535)

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non performing loan, mandatory write-off rules

13.

Modelling the Economic Value of Credit Rating Systems

Number of pages: 34 Posted: 28 Feb 2005
WU (Vienna University of Economics and Business), Vienna University of Technology - Department of Accounting and Controlling and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 253 (225,002)
Citation 5

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Rating system, cohort method, Basel, banking regulation, capital requirements, probability of default, adverse selection

14.

Choice of Rating Technology and Price Formation in Imperfect Credit Markets

Number of pages: 24 Posted: 17 May 2007
WU Vienna University of Economics and Business (deceased), Vienna University of Economics and Business - Department of Accounting and Finance, WU (Vienna University of Economics and Business) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 224 (253,178)

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rating systems, loan pricing, oligopolistic banking sector, two-stage game, adverse selection

15.

Exploring the Performance of Government Debt Issuance

Number of pages: 35 Posted: 02 Jan 2013
Vienna University of Economics and BusinessVienna University of Economics and Business - Institute for Finance, Banking and Insurance, Austrian Blockchain Center (ABC Research) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 174 (318,377)

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government debt, issuance, timing effect, allocation effect

16.

Optimal Cash Buffers of Sovereign Debt Management Offices

Number of pages: 52 Posted: 27 Jan 2018 Last Revised: 25 Aug 2019
Vienna University of Economics and BusinessVienna University of Economics and Business - Institute for Finance, Banking and Insurance, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 141 (379,281)

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Sovereign Debt Management, Capital Buffers, Cash Management

17.

Determinants of Heterogeneity in European Credit Ratings

Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010
Posted: 03 Sep 2010
Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, WU (Vienna University of Economics and Business), Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)

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Rating heterogeneity, Benchmarking, Rating agreement, Rating association, Financial market integration, Transition economies

18.

A State-Space Approach to Estimate and Test Multifactor Cox-Ingersoll-Ross Models of the Term Structure

Posted: 11 Nov 1998
Alois Geyer and Stefan Pichler
VGSF / WU and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

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