Author Page for Stefan Pichler

Benchmarking Credit Rating Systems

Number of pages: 29 Posted: 17 Sep 2006

Kurt Hornik, Manuel Lingo, Manuel Lingo, Rainer Jankowitsch, Stefan Pichler and Gerhard Winkler

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 851 (53,080)

Citation 1

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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 656 (74,706)

Citation 3

Abstract:

3.

Validation of Credit Rating Systems Using Multi-Rater Information

Number of pages: 35 Posted: 20 Dec 2005

Kurt Hornik, Rainer Jankowitsch, Manuel Lingo, Manuel Lingo, Stefan Pichler and Gerhard Winkler

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 617 (80,678)

Citation 4

Abstract:

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 585 (86,460)

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5.

Measuring the Liquidity Impact on Emu Government Bond Prices

Number of pages: 42 Posted: 22 Mar 2002

Hannes Mösenbacher, Rainer Jankowitsch and Stefan Pichler

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 (86,460)

Citation 9

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6.

Rating Granularity and Basel Ii Capital Requirements

Number of pages: 21 Posted: 05 Jan 2004

Rainer Jankowitsch, Walter S. A. Schwaiger and Stefan Pichler

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

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Currency Dependence of Corporate Credit Spreads

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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 570 (88,082)

Abstract:

Currency Dependence of Corporate Credit Spreads

Journal of Risk, Vol. 8, No. 1, Fall 2005

Posted: 08 Nov 2005

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

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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 (93,290)

Citation 35

Abstract:

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 (100,950)

Citation 7

Abstract:

10.

A Latent Variable Approach to Validate Credit Rating Systems

Number of pages: 14 Posted: 19 Sep 2008

Kurt Hornik, Rainer Jankowitsch, Christoph Leitner, Manuel Lingo, Manuel Lingo, Stefan Pichler and Gerhard Winkler

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 398 (137,109)

Abstract:

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 257 (218,284)

Citation 5

Abstract:

12.

Modelling the Economic Value of Credit Rating Systems

Number of pages: 34 Posted: 28 Feb 2005

Rainer Jankowitsch, Walter S. A. Schwaiger and Stefan Pichler

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 (221,700)

Citation 5

Abstract:

13.

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 251 (223,491)

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14.

Choice of Rating Technology and Price Formation in Imperfect Credit Markets

Number of pages: 24 Posted: 17 May 2007

Engelbert J. Dockner, Hannelore Brandt, Rainer Jankowitsch and Stefan Pichler

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 223 (250,548)

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15.

Exploring the Performance of Government Debt Issuance

Number of pages: 35 Posted: 02 Jan 2013

Alexander Eisl, Alexander Eisl, Hermann Elendner and Stefan Pichler

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 (313,819)

Abstract:

16.

Optimal Cash Buffers of Sovereign Debt Management Offices

Number of pages: 52 Posted: 27 Jan 2018 Last Revised: 25 Aug 2019

Alexander Eisl, Alexander Eisl, Christian Ochs and Stefan Pichler

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 140 (380,094)

Abstract:

17.

A Joint Model of Failures and Credit Ratings

Journal of Credit Risk, Vol. 17, No. 1

Number of pages: 28 Posted: 17 Mar 2021

Rainer Hirk, Laura Vana, Kurt Hornik and Stefan Pichler

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

Downloads 1 (1,112,149)

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Abstract:

18.

Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets

Journal of Risk, Vol. 17, No. 1, 2014

Number of pages: 34 Posted: 09 Jun 2016

Hannelore De Silva, Engelbert J. Dockner, Rainer Jankowitsch, Stefan Pichler and Klaus Ritzberger

Vienna University of Economics and Business, WU Vienna University of Economics and Business (deceased), WU (Vienna University of Economics and Business), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Institute for Advanced Studies (IHS)

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Abstract:

19.

Determinants of Heterogeneity in European Credit Ratings

Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010

Posted: 03 Sep 2010

Kurt Hornik, Rainer Jankowitsch, Manuel Lingo, Manuel Lingo, Stefan Pichler and Gerhard Winkler

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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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

Stefan Pichler

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

VGSF (Vienna Graduate School of Finance)

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Scholarly Papers (20)

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A Joint Model of Failures and Credit Ratings

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Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets

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