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Stefan Pichler

Univ.Prof. Mag.Dr.rer.soc.oec. Stefan Pichler
Telephone:
+43 1 31336 4769
Email:
Contact information and photo taken from and editable at WU Directory.

CV

No curriculum entries found.

Researcher Identifier

    No researcher identifier found.

Awards and Honors

2006
WU Best Paper Award der Stadt Wien
2005
Senator Wilhelm Wilfing Förderungspreis
2000
WU Best Paper Award der Stadt Wien
1999
Best Paper Award des Verbandes der Hochschullehrer für Betriebswirtschaft, Wissenschaftliche Kommission Bankbetriebslehre/Finanzierung

Classifications

  • 5305 Bank management (Details)
  • 5307 Business and management economics (Details)
  • 5360 Financial mathematics (Details)
  • 5361 Financial management (Details)

Expertise

  • banking supervision
  • financial engineering
  • credit derivatives
  • risk management

Activities

No activities found.

Publications

Journal article

2014 De Silva, Hannelore, Dockner, Engelbert, Jankowitsch, Rainer, Pichler, Stefan, Ritzberger, Klaus. 2014. Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets. Journal of Risk 17 (1), 29-62. (Details)
2013 Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2013. Deriving consensus ratings of the big three rating agencies. Journal of Credit Risk 9 (1): 75-98. open access (Details)
2010 Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2010. Determinants of Heterogeneity in European Credit Ratings. Financial Markets and Portfolio Management 24 (3): 271-287. (Details)
2007 Jankowitsch, Rainer, Pichler, Stefan, Schwaiger, Walter. 2007. Modelling the economic value of credit rating systems. Journal of Banking and Finance 31 (1): 181-198. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2007. Validation of credit rating systems using multi-rater information. Journal of Credit Risk 3 (4): 1-27. (Details)
2006 Jankowitsch, Rainer, Mösenbacher, Hannes, Pichler, Stefan. 2006. Measuring the Liquidity Impact on EMU Government Bond Prices. European Journal of Finance 12 (2): 153-169. (Details)
2005 Jankowitsch, R., Pichler, S.. 2005. Currency dependence of corporate credit spreads. Journal of Risk 8/1, Fall 2005, 1 - 24 (Details)
  Jankowitsch, R., Pichler, S.. 2005. Estimating Credit Spread Curves for EMU Government Bonds. Wirtschaft und Management, Schriftenreihe der FH des BFI Wien, 2. Ausgabe, 33-49 (Details)
2004 Geyer, Alois, Kossmeier, Stephan, Pichler, Stefan . 2004. Measuring Systematic Risk in EMU Government Yield Spreads. Review of Finance, 1 (2), 171-197 (Details)
  Jankowitsch, R., Pichler S.. 2004. Parsimonious Estimation of Credit Spreads. The Journal of Fixed Income 14 (3), December 2004 (Details)
2003 Thurner, S., Hanel, R., Pichler, S.. 2003. Risk Trading, Network Topology, and Banking Regulation. Quantitative Finance, 3, 4, 306-319 (Details)
2001 Geyer, Alois, Kossmeier, Stephan, Pichler, Stefan. 2001. Analyse der Zinsspreads von EMU-Staatsanleihen. Die Bank, 5, 336-339 (Details)
2000 Binder, A., Fingerlos, R., Jankowitsch, R., Pichler, S., Zeipelt, W.. 2000. Die Schätzung der österreichischen Zinsstruktur nach dem Verfahren von Svensson. Bank-Archiv, 2/2000, 129-138 (Details)
1999 Geyer, A. L. J., Pichler, S.. 1999. A State-Space Approach to estimate and test Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure. The Journal of Financial Research, 22, 1, 107-130 (Details)
1998 Geyer, A. L. J., Pichler, S.. 1998. Aggregationsprobleme im Rahmen des Value-at-Risk Konzeptes. Bank-Archiv, 12/1998, 942-948 (Details)
1997 Grünbichler, A., Pichler, S.. 1997. Der Verfallstageffekt in Österreich: Eine empirische Untersuchung. Finanzmarkt und Portfolio Management, 11, 1, 51-61 (Details)
1996 Grünbichler, A., Pichler, S.. 1996. Der ATX50P und der WBI30 im Vergleich. Bank-Archiv, 12/1996, 943-948 (Details)
  Pichler, S.. 1996. Optionen auf den AGB-Future: Bewertungsmodelle für den praktischen Einsatz. Bank-Archiv, 10/1996, 757-764 (Details)
1993 Pichler, S.. 1993. Aktienmarktanomalien: Systematik empirischer Befunde. Bank-Archiv, 2/1993, 117-123 (Details)
  Pichler, S.. 1993. Size Effect und Settlement Effect am österreichischen Aktienmarkt. Bank-Archiv, 3/1993, 195-201 (Details)
1991 Grünbichler, A., Pichler, S.. 1991. Zur Nachkalkulation von Aktienindizes: Der S&P500 und der ATX im Vergleich. Bank-Archiv, 11/1991, 809-814 (Details)

Chapter in edited volume

2010 Hornik, Kurt, Jankowitsch, Rainer, Leitner, Christoph, Pichler, Stefan, Lingo, Manuel, Winkler, Gerhard. 2010. A Latent Variable Approach to Validate Credit Rating Systems. In: Model Risk in Financial Crises, Hrsg. Daniel Rösch and Harald Scheule, 277-296. London: Risk Books. (Details)
2000 Pichler, S., Selitsch, K.. 2000. A Comparsion of Analytical VaR Methodologies for Portfolios that include Options. In: Gibson, R. (ed.): Model Risk: Concepts, Calibration, and Pricing. 253-265, Risk Publications, London (Details)

Contribution to conference proceedings

1999 Aussenegg, W., Pichler, S.. 1999. Evaluierung von Value-at-Risk Modellen für zinsabhängige Finanzinstrumente. In: Egger, A., Grün, O., Moser, R. (Hrsg.): Managementinstrumente und -konzepte. 417-438, Schäffer-Poeschel Verlag (Details)

Paper presented at an academic conference or symposium

2017 Ochs, Christian, Pichler, Stefan, Eisl, Alexander. 2017. Optimal Capital Buffers of Sovereign Debt Management Offices. Annual Meeting of the German Finance Association (DGF), Ulm, Deutschland, 06.10.-07.10. (Details)
  Ochs, Christian, Eisl, Alexander, Pichler, Stefan. 2017. Optimal Capital Buffers of Sovereign Debt Management Offices. Annual Meeting of the Southern Finance Association, Florida, Vereinigte Staaten/USA, 15.11.-18.11. (Details)
2016 Eisl, Alexander, Ochs, Christian, Pichler, Stefan. 2016. Sovereign Debt Issuance under Fiscal Budget Uncertainty and Market Frictions. European Financial Management Association Annual Meeting 2016, Basel, Schweiz, June. (Details)
  Eisl, Alexander, Ochs, Christian, Pichler, Stefan. 2016. Sovereign Debt Issuance under Fiscal Budget Uncertainty and Market Frictions. 29th Australasian Finance and Banking Conference 2016, Sydney, Australien, December. (Details)
  Eisl, Alexander, Ochs, Christian, Pichler, Stefan. 2016. Sovereign Debt Issuance under Fiscal Budget Uncertainty and Market Frictions. Global Finance Conference 2016, California, Vereinigte Staaten/USA, April. (Details)
2015 Eisl, Alexander, Ochs, Christian, Pichler, Stefan. 2015. Sovereign Debt Issuance under Fiscal Budget Uncertainty and Market Frictions. Southern Finance Association Annual Meeting 2015, Florida, Vereinigte Staaten/USA, November. (Details)
2012 Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2012. Exploring the Performance of Government Debt Issuance. 4th IFABS Conference, Valencia, Spanien, 18.06.-20.06.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2012. Exploring the Performance of Government Debt Issuance. 10th INFINITI Conference, Dublin, Irland, 11.06.-12.06.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2012. Exploring the Performance of Government Debt Issuance. Campus for Finance Research Conference, Vallendar, Deutschland, 11.01.-12.01.. (Details)
2011 Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2011. Measuring the Performance of Debt Management Offices. Southern Finance Association, Key West, Vereinigte Staaten/USA, 16.11-19.11. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2011. Exploring the Performance of Government Debt Issuance. Financial Management Association International (FMA) Annual Meeting, Denver, Vereinigte Staaten/USA, 19.10.-22.10.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2011. Exploring the Performance of Government Debt Issuance. Swiss Society for Financial Market Research, Zürich, Schweiz, 30.03.-30.03.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2011. Exploring the Performance of Government Debt Issuance. Midwest Finance Association 2011 Conference, Chicago, Vereinigte Staaten/USA, 02.03-05.03. (Details)
2010 Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2010. Exploring the Performance of Government Debt Issuance. 17th Meeting of the German Finance Association (DGF), Hamburg, Deutschland, 08.10.-09.10.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2010. Exploring the Performance of Government Debt Issuance. 25th Austrian Working Group on Banking & Finance (AWG), Graz, Österreich, 26.11.-27.11.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2010. Exploring the Performance of Government Debt Issuance. European Financial Management Association 19th Meeting, Århus, Dänemark, 23.06.-26.06.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2010. Exploring the Performance of Government Debt Issuance. 2010 Global Finance Conference, Posen, Polen, 27.06.-30.06.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2010. Exploring the Performance of Government Debt Issuance. 1st R/Rmetrics Summer School and 4th User/Developer Meeting on Computational Finance and Financial Engineering, Meielisalp, Schweiz, 27.06-02.07. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2010. Exploring the Performance of Government Debt Issuance. Association Française de Finance 2010 Spring Conference, Saint Malo, Frankreich, 10.05.-12.05.. (Details)
  Eisl, Alexander, Elendner, Hermann, Pichler, Stefan. 2010. Exploring the Performance of Government Debt Issuance. The European Winter Finance Summit 2010, Saalbach Hinterglemm, Österreich, 21.03.-24.03.. (Details)
2009 Hofmarcher, Paul, Hornik, Kurt, Pichler, Stefan. 2009. Benford's Law and the CDS Crisis. 24. Workshop Austrian Working Group on Banking & Finance 2009, Wien, Österreich, 4.12. (Details)
  Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2009. Consensus Default Probabilities of the Big Three Rating Aencies. 24. Workshop der Austrian Working Group on Banking and Finance, Fachhochschule des bfi Wien, Österreich, 4.12.-5.12. (Details)
  Leitner, Christoph, Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2009. A Latent Variable Approach to Validate Credit Rating Systems. Annual Meeting of the Southern Finance Association, Captiva Island, Vereinigte Staaten/USA, 18.11.-21.11. (Details)
  Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2009. A Dynamic Latent Variable Approach to Validate Credit Rating Systems. Computational Finance and Financial Engineering, Third R/Rmetrics User and Developer Workshop, Leissingen, Schweiz, 28.06.-02.07.. (Details)
  Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2009. The Information Value of Ratings. Konversatorium zum Berufsbild von Mathematikerinnen und Mathematikern: "Finanzmathematik", Universität Wien, Österreich, 10.06.. (Details)
  Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2009. A Dynamic Latent Variable Approach to Validate Credit Rating Systems. Workshop Risikomanagement, Universität Innsbruck - Obergurgl, Österreich, 02.04.-04.04.. (Details)
  Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2009. A Latent Variable Approach to Validate Credit Rating Systems using R. R Finance 2009, Chicago, Vereinigte Staaten/USA, 24.04.-25.04.. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Leitner, Christoph, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2009. A Latent Variable Approach to Validate Credit Rating Systems. Workshop Risikomanagement, Universität Innsbruck - Obergurgl, Österreich, 02.04.-04.04. (Details)
  Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2009. Extending the Latent Variable Approach to Rating Validation - Including Finite Mixture Distributions and Censored Observations. Workshop Risikomanagement, Universität Innsbruck - Obergurgl, Österreich, 02.04.-04.04.. (Details)
  Pichler, Stefan. 2009. A Dynamic Latent Variable Approach to Validate Credit Rating Systems.. EWFS, Saalbach, Österreich, 21.03.-24.03.. (Details)
  Filipovic, Damir, Friewald, Nils, Pichler, Stefan. 2009. An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters. The Australasian Finance and Banking Conference 2009, Sydney, Australien, 16.12.-18.12.. (Details)
  De Silva, Hannelore, Dockner, Engelbert, Jankowitsch, Rainer, Pichler, Stefan, Ritzberger, Klaus. Forthcoming. Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets. Brown Bag Seminar, Department of Economics – University of Innsbruck, Innsbruck, Österreich, 15.01. (Details)
2008 De Silva, Hannelore, Dockner, Engelbert, Jankowitsch, Rainer, Pichler, Stefan, Ritzberger, Klaus. 2008. Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets. European Winter Finance Summit 2008, Hemsedal, Norwegen, 06.09.- 09.09. (Details)
  De Silva, Hannelore, Dockner, Engelbert, Jankowitsch, Rainer, Pichler, Stefan, Ritzberger, Klaus. 2008. Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets. Financial Risks, International Financial Research Forum, Paris, Frankreich, 27.03.-28.03. (Details)
  Grün, Bettina, Hornik, Kurt, Jankowitsch, Rainer, Leitner, Christoph, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2008. A Latent Variable Approach to Rating Model Validation. Symposium on Rating Model Validation, Oesterreichische Nationalbank, Österreich, 15.05.-15.05. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2008. Determinants of Heterogeneity in European Credit Ratings. 6th INFINITI Conference on International Finance, Dublin, Irland, 09.06.-10.06.. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Leitner, Christoph, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2008. Validation by Means of Benchmarking: A Multi-Rater Approach to Validation. Symposium on Rating Model Validation, Oesterreichische Nationalbank, Österreich, 15.05.-15.05.. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2008. Determinants of Heterogeneity in European Credit Ratings. 11th Conference of the Swiss Society for Financial Market Research, Zürich, Schweiz, 11.04.2008. (Details)
2007 Brandt, Hannelore, Dockner, Engelbert, Jankowitsch, Rainer, Pichler, Stefan. 2007. Choice of Rating Technology and Price Formation in Imperfect Credit Markets. 22nd Austrian Working Group on Banking and Finance, Innsbruck, Österreich, 23.11.-24.11.. (Details)
  Brandt, Hannelore, Dockner, Engelbert, Jankowitsch, Rainer, Pichler, Stefan. 2007. Choice of Rating Technology and Price Formation in Imperfect Credit Markets . 14th Annual Conference of the German Finance Association, Dresden, Deutschland, 28.09-29.09. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2007. Validation of Credit Rating Systems Using Multi-Rater Information. 2007 Financial Management Association Annual Meeting, Orlando, Vereinigte Staaten/USA, 17.10.-20.10.. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2007. Validation of Credit Rating Systems using Multi-Rater Information. 10th Conference of the Swiss Society for Financial Market Research, Zurich, Schweiz, 29.03.- 30.03.. (Details)
2006 Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. A Latent Variable Approach to Validate Credit Rating Systems. Workshop Kreditrisikomanagement, Obergurgl, Österreich, 17.11.-18.11.. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Benchmarking Credit Rating Systems. Workshop Kreditrisikomanagement, Obergurgl, Österreich, 17.11.-18.11.. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating Systems Using Multi-Rater Information. 21st Austrian Working Group on Banking and Finance, Klagenfurt, Österreich, 24.11.-25.11.. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating Systems Using Multi-Rater Information. 4th Finance Conference of the Portugese Finance Network, Porto, Portugal, 7. August 2006. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating Systems Using Multi-Rater Information. 15th Annual Meeting of the European Financial Management Association, Madrid, Spanien, 29. Juni 2006. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating Systems Using Multi-Rater Information. 4th INFINITI Conference on International Finance, Dublin, Irland, 12. Juni 2006. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating Systems Using Multi-Rater Information. International Finance Symposium, Istanbul, Türkei, 26. Mai 2006. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating-Systems Using Multi-Rater Information. Workshop on Credit Risk and Risk Transfer, Wien, Österreich, 25. Jänner 2006. (Details)
  Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Validation of Credit Rating Systems Using Multi-Rater Information. EDEN Credit Risk Doctoral Tutorial, Venedig, Italien, 23.09.. (Details)
2005 Jankowitsch, R., Pichler, S.. 2005. Modelling the Economic Value of Credit Rating Systems. 8th Conference of the Swiss Society for Financial Market Research, Zürich, 8. April 2005 (Details)
  Jankowitsch, R., Pichler, S., Schwaiger, W.. 2005. Modelling the Economic Value of Credit Rating Systems. 12th Annual Meeting of the German Finance Association, Augsburg, 8. Oktober 2005 (Details)
  Jankowitsch, R., Pichler, S., Schwaiger, W.. 2005. Modelling the Economic Value of Credit Rating Systems. 10th Symposium on Finance, Banking, and Insurance, Karlsruhe, 16. Dezember 2005 (Details)
  Jankowitsch, R., Pichler, S., Schwaiger W.. 2005. Modelling the Economic Value of Credit Rating Systems. 45th Annual Meeting of the Southern Finance Association, Key West, 18. November 2005 (Details)
  Jankowitsch, R., Pichler S., Schwaiger, W.. 2005. Modelling the Economic Value of Credit Rating Systems. Workshop Kreditrisikomanagement, Obergurgl, 26. November 2005 (Details)
  Jankowitsch, R., Pichler, S., Schwaiger W.. 2005. Modelling the Economic Value of Credit Rating Systems. 12th Global Finance Conference, Dublin, 28. Juni 2005 (Details)
2004 Jankowitsch, R., Pichler, S.. 2004. Currency Dependence of Corporate Credit Spreads. 44th Annual Meeting of the Southern Finance Association, Naples, 18. November (Details)
  Jankowitsch, R., Pichler, S.. 2004. Currency Dependence of Corporate Credit Spreads. International Bond and Debt Market Integration Conference, Dublin, 31. Mai (Details)
2003 Jankowitsch, R., Kossmeier, S., Pichler, S.. 2003. Bewertung und Risikoanalyse von Fremdwährungskrediten in einem strukturellen Modell. 17th Austrian Working Group on Banking and Finance, Graz, 28. November 2003 (Details)
  Jankowitsch, R., Pichler, S.. 2003. Currency Dependence of Corporate Credit Spreads. 10th Annual Meeting of the German Finance Association, Mainz, 11. Oktober 2003 (Details)
2002 Jankowitsch, Rainer, Mösenbacher, Hannes, Pichler, Stefan. 2002. Measuring the Liquidity Impact on EMU Government Bond Prices. 9th Symposium on Finance, Banking, and Insurance, Karlsruhe, Deutschland, 11.12.-13.12.. (Details)
  Jankowitsch, R., Mösenbacher, H., Pichler, S.. 2002. Measuring the Liquidity Impact on EMU Government Bond Prices. 42th Annual Meeting of the Southern Finance Association, Key West, 22. November 2002 (Details)
  Jankowitsch, R., Mösenbacher, H., Pichler, S.. 2002. Measuring the Liquidity Impact on EMU Government Bond Prices. 9th Annual Meeting of the German Finance Association, Köln, October 2002 (Details)
  Jankowitsch, R., Mösenbacher, H., Pichler, S.. 2002. Measuring the Liquidity Impact on EMU Government Bond Prices. 2nd Meeting of the Portuguese Financial Network, Evora, June 2002 (Details)
  Jankowitsch, R., Pichler, S.. 2002. Parsimonious Estimation of Credit Spreads. 9th Symposium on Finance, Banking, and Insurance, Karlsruhe, 12. Dezember 2002 (Details)
  Jankowitsch, R., Pichler, S., Schwaiger, W. S. A.. 2002. Rating Granularity and Basel II Capital Requirements. 16th Austrian Working Group on Banking and Finance, Wien, 29. November 2002 (Details)
2001 Jankowitsch, R., Mösenbacher, H., Pichler, S.. 2001. Measuring the Liquidity Impact on EMU Government Bond Prices. 15th Austrian Working Group on Banking and Finance, Wien, 31. November 2001 (Details)

Working/discussion paper, preprint

2016 Ochs, Christian, Eisl, Alexander, Pichler, Stefan. 2016. Optimal Capital Buffers of Sovereign Debt Management Offices. (Details)
2015 Eisl, Alexander, Ochs, Christian, Pichler, Stefan. 2015. Sovereign Debt Issuance under Fiscal Budget Uncertainty and Market Frictions. (Details)
2010 Grün, Bettina, Hofmarcher, Paul, Hornik, Kurt, Leitner, Christoph, Pichler, Stefan. 2010. Deriving Consensus Ratings of the Big Three Rating Agencies. Research Report Series, Institute for Statistics and Mathematics, Report 99. (Details)
2009 Filipović, Damir, Friewald, Nils, Pichler, Stefan. 2009. An Empirical Analysis of Valuation Algorithms for Pricing Callable Snowball Floaters. (Details)
  Brandt, Hannelore, Dockner, Engelbert, Jankowitsch, Rainer, Pichler, Stefan, Ritzberger, Klaus. 2009. Choice of rating technology and price formation in imperfect credit markets. (Details)
2008 Hornik, Kurt, Jankowitsch, Rainer, Leitner, Christoph, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2008. A Latent Variable Approach to Validate Credit Rating Systems. (Details)
2007 Brandt, Hannelore, Dockner, Engelbert, Jankowitsch, Rainer, Pichler, Stefan. 2007. Choice of Rating Technology and Price Formation in Imperfect Credit Markets. (Details)
2006 Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2006. Benchmarking Credit Rating Systems. Working Paper, Wirtschaftsuniversität Wien. (Details)
2005 Hornik, K., Jankowitsch, R., Lingo, M., Pichler, S., Winkler, G.. 2005. Validation of Credit Rating Systems Using Multi-Rater Information. Working Paper, Wirtschaftsuniversität Wien (Details)
2004 Geyer, A. L. J., Kossmeier, S., Pichler, S.. 2004. Measuring Systematic Risk in EMU Government Yield Spreads. Working Paper, S. 42, Wirtschaftsuniversität Wien (Details)
  Jankowitsch, R., Pichler, S., Schwaiger, W.S.A.. 2004. Modelling the Economic Value of Credit Rating Systems. Working Paper, Wirtschaftsuniversität Wien (Details)
2003 Jankowitsch, R., Pichler, S.. 2003. Currency Dependence of Corporate Credit Spreads. Working Paper, 36 S., Wirtschaftsuniversität Wien (Details)
  Jankowitsch, R., Pichler, S.. 2003. Estimating Zero-Coupon Yield Curves for EMU Government Bonds. Working Paper, 19 S., Wirtschaftsuniversität Wien (Details)
  Jankowitsch, R., Mösenbacher, H., Pichler, S.. 2003. Measuring the Liquidity Impact on EMU Government Bond Prices. Working Paper, 60 S., Wirtschaftsuniversität Wien (Details)
  Jankowitsch, R., Pichler, S.. 2003. Parsimonious Estimation of Credit Spreads. Working Paper, 24 S., Wirtschaftsuniversität Wien (Details)
  Jankowitsch, R., Pichler, S., Schwaiger, W. S. A.. 2003. Rating Granularity and Basel II Capital Requirements. Working Paper, 25 S., Wirtschaftsuniversität Wien (Details)
1997 Aussenegg, W., Pichler, S.. 1997. Empirical Analysis of Simple Models to calculate Value-at-Risk of Fixed Income Instruments. Working Paper, Technische Universität Wien (Details)
  Pichler, S.. 1997. Valuation of Floating Rate Instruments Indexed to a Secundary Market Yield. Working Paper, Technische Universität Wien (Details)
1994 Geyer, A. L. J., Pichler, S.. 1994. Parameter Estimation for Arbitrage-Free Models of the Term Structure of Interest Rates: A Kalman Filter Approach. Working Paper #7 der Austrian Working Group on Banking and Finance (Details)

Research report, expert opinion

2016 Jankowitsch, Rainer, Pichler, Stefan. 2016. Negativzinsen. Wien:WU Wirtschaftsuniversität Wien. (Details)

Projects

2015
Stochastic Filtering and Corporate and Sovereign Credit Risk (2015-2019) (Details)
2014
PhD Programm: Vienna Graduate School of Finance (2014-2018) (Details)
2011
PhD Programm: Vienna Graduate School of Finance (2011-2014) (Details)
2010
Modeling Market Implied Ratings (2010-2012) (Details)
2007
WWTF-Science Chair for Mathematics and Finance (2007-2012) (Details)
Modelling the rating process and rating validation (2007-2009) (Details)
2006
Validation of Rating Systems (2006-2007) (Details)
2005
Mathematics and Credit Risk (2005-2009) (Details)
2004
Rating Methodology for Corporates using Logit-Models (2004-2004) (Details)
Rating validation for rating systems (2004-2005) (Details)
Active credit portfolio management (2004-2005) (Details)
2001
Empirical analysis of models for pricing sovereign bonds (2001-2002) (Details)