Validation of Rating Systems

Type Research Project

Funding Bodies
  • Austrian National Bank

Duration June 28, 2006 - Dec. 31, 2007

  • Bank Administration AE (Former organization)
  • Mathematical Methods in Statistics AE (Former organization)

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Abstract (German)

Ziel des Projektes ist es, geeignete Methoden zur Validierung von Ratingsystemen zu entwickeln. Basis für die zu entwickelnden Methoden ist der Benchmarkingansatz. Dabei werden Ratinginformationen unterschiedlicher Quellen miteinander verglichen, um somit die relative Qualität einer Ratingquelle beurteilen zu können.

Partners

  • Oesterreichische Nationalbank - Austria

Publications

Paper presented at an academic conference or symposium

2007 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)

Classification

  • 5361 Financial management (Details)

Expertise

  • Rating systems