Gerhard Winkler

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3

1090 Vienna

Austria

Vienna University of Economics and Business Administration

Welthandelsplatz 1

Vienna, Wien 1020

Austria

SCHOLARLY PAPERS

7

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SSRN CITATIONS
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8

CROSSREF CITATIONS

174

Scholarly Papers (7)

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 (42,311)
Citation 1

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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), 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 (65,500)
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, Manuel Lingo and Gerhard Winkler
Vienna University of Economics and Business AdministrationOesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 394 (95,953)
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, 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 (108,049)

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

The Performance of Credit Rating Systems in the Assessment of Collateral used in Eurosystem Monetary Policy Operations

ECB Occasional Paper No. 65
Number of pages: 42 Posted: 13 Jul 2007
François Coppens, Fernando González and Gerhard Winkler
National Bank of Belgium, European Central Bank (ECB) and Oesterreichische Nationalbank (OeNB)
Downloads 204 (189,590)

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credit risk, rating, probability of default (PD), performance checking, backtesting

The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations

National Bank of Belgium Working Paper No.118
Number of pages: 39 Posted: 07 Oct 2010
François Coppens, Fernando Gonzalez and Gerhard Winkler
National Bank of Belgium, affiliation not provided to SSRN and Oesterreichische Nationalbank (OeNB)
Downloads 68 (423,894)
Citation 91

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credit risk, rating, probability of default (PD), performance checking, backtesting

6.

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 196 (196,815)

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Rating System, Validation, Calibration Quality

7.

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)

Abstract:

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