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

20

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SSRN CITATIONS
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Top 17,988

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47

CROSSREF CITATIONS

13

Scholarly Papers (20)

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 759 (42,370)
Citation 1

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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 621 (55,308)
Citation 3

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

3.

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 558 (63,240)

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

4.

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 554 (63,807)
Citation 9

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

5.

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 542 (65,563)
Citation 4

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

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 520 (68,338)

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

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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corporate credit spreads, credit spread curves , corporate bond market, estimation procedure, default variables, multicurve estimation approach, issuer-specific credit spreads

7.

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 515 (69,974)
Citation 35

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

8.

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 489 (74,527)
Citation 7

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

9.

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
Ecole Polytechnique Fédérale de Lausanne, Norwegian School of Economics (NHH) and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 472 (77,781)

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

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 355 (108,161)

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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 227 (171,853)
Citation 5

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

12.

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 221 (176,315)
Citation 4

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

13.

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 204 (189,945)

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

14.

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 149 (249,118)

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government debt, issuance, timing effect, allocation effect

15.

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 87 (364,073)

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Sovereign Debt Management, Capital Buffers, Cash Management

16.

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 74 (400,223)

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non performing loan, mandatory write-off rules

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 (800,893)
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composite likelihood; credit ratings; failure information; failure-prediction model; financial ratios; multivariate ordinal regression model.

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
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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loan pricing, rating systems, loan portfolios

19.

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

20.

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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