Rainer Jankowitsch

WU (Vienna University of Economics and Business)

Welthandelsplatz 1

Vienna, Vienna AT1020

Austria

SCHOLARLY PAPERS

21

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CITATIONS
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89

Scholarly Papers (21)

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

Number of pages: 40 Posted: 16 Jun 2009 Last Revised: 17 Mar 2010
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 692 (29,504)
Citation 15

Abstract:

Liquidity, Corporate Bonds, Financial Crises, OTC Markets

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

NYU Working Paper No. FIN-09-009
Number of pages: 40 Posted: 08 Sep 2009 Last Revised: 16 Mar 2010
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 182 (140,158)
Citation 15

Abstract:

liquidity, corporate bonds, financial crises, OTC markets

Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market During Financial Crises

NYU Working Paper No. FIN-11-043
Number of pages: 40 Posted: 13 Jan 2012
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 151 (165,336)
Citation 15

Abstract:

The Manipulation Potential of Libor and Euribor

Number of pages: 55 Posted: 15 Jan 2013 Last Revised: 12 Nov 2014
Alexander Eisl, Rainer Jankowitsch and Marti G. Subrahmanyam
Vienna University of Economics and Business, WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 950 (18,628)

Abstract:

money markets, Libor, Euribor, manipulation, collusion

The Manipulation Potential of Libor and Euribor

European Financial Management, Vol. 23, Issue 4, pp. 604-647, 2017
Number of pages: 44 Posted: 02 Oct 2017
Alexander Eisl, Rainer Jankowitsch and Marti G. Subrahmanyam
Vienna University of Economics and Business, WU (Vienna University of Economics and Business) and New York University - Stern School of Business
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Abstract:

money markets, Libor, Euribor, manipulation, collusion

Price Dispersion in OTC Markets: A New Measure of Liquidity

EFA 2008 Athens Meetings Paper
Number of pages: 36 Posted: 04 Mar 2008 Last Revised: 10 Apr 2008
Rainer Jankowitsch, Amrut J. Nashikkar and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 762 (25,807)
Citation 9

Abstract:

liquidity, corporate bonds, market microstructure, OTC markets

Price Dispersion in OTC Markets: A New Measure of Liquidity

NYU Working Paper No. FIN-08-013
Number of pages: 38 Posted: 09 Mar 2009
Marti G. Subrahmanyam, Amrut J. Nashikkar and Rainer Jankowitsch
New York University - Stern School of Business, New York University (NYU) - Department of Finance and WU (Vienna University of Economics and Business)
Downloads 152 (164,374)
Citation 9

Abstract:

4.

Benchmarking Credit Rating Systems

Number of pages: 29 Posted: 17 Sep 2006
Vienna University of Economics and Business Administration - Department of Statistics and Mathematics, Oesterreichische 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 683 (27,815)
Citation 1

Abstract:

rating validation, benchmarking, rating agreement, rating association, financial market integration, transition economies

5.

The Delivery Option in Credit Default Swaps

EFA 2007 Ljubljana Meetings Paper
Number of pages: 33 Posted: 22 May 2006 Last Revised: 26 Oct 2007
Rainer Pullirsch, Tanja Veza and Rainer Jankowitsch
Bank Austria Creditanstalt - Department of Operational and Group Risk Control, WU Vienna (Vienna University of Economics and Business) and WU (Vienna University of Economics and Business)
Downloads 566 (37,158)
Citation 16

Abstract:

credit risk, default, corporate bond, credit default swap, reduced-form model, recovery rate, delivery option

6.

The Determinants of Recovery Rates in the US Corporate Bond Market

Journal of Financial Economics 114 (1): 155-177
Number of pages: 47 Posted: 04 Sep 2012 Last Revised: 17 Sep 2014
Rainer Jankowitsch, Florian Nagler and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), Bocconi University and New York University - Stern School of Business
Downloads 536 (31,057)
Citation 3

Abstract:

credit risk, recovery rate, corporate bonds, liquidity

7.

Rating Granularity and Basel II Capital Requirements

Number of pages: 21 Posted: 05 Jan 2004
Rainer Jankowitsch, Walter S. A. Schwaiger and Stefan Pichler
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 532 (41,529)
Citation 3

Abstract:

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

8.

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 526 (38,595)
Citation 4

Abstract:

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

9.

Measuring the Liquidity Impact on EMU Government Bond Prices

Number of pages: 42 Posted: 22 Mar 2002
Hannes Mösenbacher, Rainer Jankowitsch and Stefan Pichler
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 506 (43,311)
Citation 7

Abstract:

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

10.
Downloads 452 ( 52,221)
Citation 5

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 452 (51,655)
Citation 5

Abstract:

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

Abstract:

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

11.

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), Oesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)
Downloads 441 (47,531)
Citation 3

Abstract:

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

12.

Trading Strategies Based on Term Structure Model Residuals

Number of pages: 36 Posted: 27 Sep 2005
Michaela Nettekoven and Rainer Jankowitsch
Vienna University of Economics and Business Administration and WU (Vienna University of Economics and Business)
Downloads 377 (56,590)
Citation 1

Abstract:

trading strategy, term structure, pricing error

13.

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, Oesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)
Downloads 267 (85,786)

Abstract:

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

14.

Transparency and Liquidity in the Structured Product Market

Number of pages: 50 Posted: 01 Sep 2012 Last Revised: 05 Nov 2014
Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam
Norwegian School of Economics (NHH), WU (Vienna University of Economics and Business) and New York University - Stern School of Business
Downloads 239 (65,202)
Citation 3

Abstract:

liquidity, structured products, OTC markets, transparency, TRACE

15.

Modelling the Economic Value of Credit Rating Systems

Number of pages: 34 Posted: 28 Feb 2005
Rainer Jankowitsch, Walter S. A. Schwaiger and Stefan Pichler
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 201 (123,192)
Citation 6

Abstract:

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

16.

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, 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 189 (132,066)

Abstract:

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

17.

Illiquidity or Credit Deterioration: A Study of Liquidity in the Us Corporate Bond Market During

NYU Working Paper No. 2451/31418
Number of pages: 40 Posted: 26 Jun 2013
Marti G. Subrahmanyam, Rainer Jankowitsch and Nils Friewald
New York University - Stern School of Business, WU (Vienna University of Economics and Business) and Norwegian School of Economics (NHH)
Downloads 68 (204,882)
Citation 12

Abstract:

18.

Secondary Market Liquidity and Security Design: Theory and Evidence from ABS Markets

Number of pages: 40 Posted: 25 Aug 2015
Nils Friewald, Chris Hennessy and Rainer Jankowitsch
Norwegian School of Economics (NHH), London Business School and WU (Vienna University of Economics and Business)
Downloads 25 (172,720)
Citation 1

Abstract:

19.

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, 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)
Downloads 0 (569,319)
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Abstract:

loan pricing, rating systems, loan portfolios

20.

The Rules of the Rating Game: Market Perception of Corporate Ratings

Number of pages: 71 Posted: 19 Nov 2015 Last Revised: 04 Jul 2017
Rainer Jankowitsch, Giorgio Ottonello and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), Vienna Graduate School of Finance (VGSF) and New York University - Stern School of Business
Downloads 0 (143,743)

Abstract:

ratings, Dodd-Frank Act, corporate bonds, liquidity

21.

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), Oesterreichische Nationalbank (OeNB), WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics and Oesterreichische Nationalbank (OeNB)

Abstract:

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