Rating validation for rating systems


Type Research Project

Funding Bodies
  • Austrian National Bank

Duration Dec. 20, 2004 - Sept. 30, 2005

  • Bank Administration AE (Former organization)

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Abstract (German)

Entwicklung eines Verfahren zur Beurteilung der Qualität von Ratingsystemen. Für alle Kreditnehmer, die durch die OeNB erfasst werden, stehen von mehreren Bank Ratings zur Verfügung. Diese Ratings sollen auf Konsistenz geprüft werden.


Abstract (English)

Developement of a new methodology for validation of rating systems. Ratings from a sample banks for the same corporations shall be evaluated.

Partners

  • Oesterreichische Nationalbank - Austria

Publications

Paper presented at an academic conference or symposium

2006 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 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. 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)

Working/discussion paper, preprint

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)

Classification

  • 5361 Financial management (Details)

Expertise

  • Rating Validation
  • Corporates