Manuel Lingo

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3

1090 Vienna

Austria

Vienna University of Economics and Business Administration

Augasse 2-6

Vienna A-1090

Austria

SCHOLARLY PAPERS

6

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6

Scholarly Papers (6)

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, Oesterreichische 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 750 (36,422)
Citation 1

Abstract:

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

2.

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), Oesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)
Downloads 521 (58,725)
Citation 4

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

3.

Discriminatory Power - An Obsolete Validation Criterion?

Number of pages: 43 Posted: 25 Mar 2008
Manuel Lingo and Gerhard Winkler
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 362 (90,877)
Citation 3

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Credit Risk, Validation, Discriminatory Power, Calibration Quality, ROC, CAP

4.

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, Oesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)
Downloads 336 (98,854)

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

5.

Re-Mapping Credit Ratings

Number of pages: 31 Posted: 12 May 2011 Last Revised: 06 Apr 2013
Alexander Eisl, Hermann Elendner and Manuel Lingo
Vienna University of Economics and Business, Humboldt University of Berlin - School of Business and Economics and Oesterreichische Nationalbank (OeNB)
Downloads 146 (220,397)

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credit rating, rating agencies, rating scales, comparison of ratings

6.

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), Oesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)

Abstract:

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