Rainer Jankowitsch

WU (Vienna University of Economics and Business)

Welthandelsplatz 1

Vienna, Vienna AT1020

Austria

Vienna Graduate School of Finance (VGSF)

Welthandelsplatz 1

Vienna, 1020

Austria

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 4,930

SSRN RANKINGS

Top 4,930

in Total Papers Downloads

10,973

SSRN CITATIONS
Rank 2,987

SSRN RANKINGS

Top 2,987

in Total Papers Citations

216

CROSSREF CITATIONS

235

Scholarly Papers (24)

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 (NYU) - Leonard N. Stern School of Business
Downloads 782 (40,157)
Citation 12

Abstract:

Loading...

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 (NYU) - Leonard N. Stern School of Business
Downloads 192 (200,775)
Citation 19

Abstract:

Loading...

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 (NYU) - Leonard N. Stern School of Business
Downloads 164 (230,540)

Abstract:

Loading...

2.
Downloads 1,093 ( 25,455)
Citation 6

The Manipulation Potential of Libor and Euribor

Number of pages: 55 Posted: 15 Jan 2013 Last Revised: 12 Nov 2014
Vienna University of Economics and BusinessVienna University of Economics and Business - Institute for Finance, Banking and Insurance, WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,093 (25,051)
Citation 2

Abstract:

Loading...

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
Vienna University of Economics and BusinessVienna University of Economics and Business - Institute for Finance, Banking and Insurance, WU (Vienna University of Economics and Business) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 0
Citation 4
  • Add to Cart

Abstract:

Loading...

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 (NYU) - Leonard N. Stern School of Business
Downloads 870 (34,642)
Citation 35

Abstract:

Loading...

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 (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and WU (Vienna University of Economics and Business)
Downloads 171 (222,445)
Citation 7

Abstract:

Loading...

4.

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 (NYU) - Leonard N. Stern School of Business
Downloads 781 (40,794)
Citation 28

Abstract:

Loading...

credit risk, recovery rate, corporate bonds, liquidity

5.

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 (42,406)
Citation 1

Abstract:

Loading...

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

6.

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 621 (55,353)
Citation 3

Abstract:

Loading...

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

7.

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 614 (56,149)
Citation 7

Abstract:

Loading...

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

8.

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 559 (63,146)

Abstract:

Loading...

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

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 554 (63,862)
Citation 9

Abstract:

Loading...

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

10.

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 (65,619)
Citation 4

Abstract:

Loading...

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

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 520 (68,392)

Abstract:

Loading...

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:

Loading...

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

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 475 (77,249)
Citation 1

Abstract:

Loading...

trading strategy, term structure, pricing error

13.

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 (NYU) - Leonard N. Stern School of Business
Downloads 468 (78,623)
Citation 16

Abstract:

Loading...

liquidity, structured products, OTC markets, transparency, TRACE

14.

Regulation, Asset Complexity, and the Informativeness of Credit Ratings

Number of pages: 55 Posted: 19 Nov 2015 Last Revised: 11 Nov 2021
Rainer Jankowitsch, Giorgio Ottonello and Marti G. Subrahmanyam
WU (Vienna University of Economics and Business), Nova School of Business and Economics and New York University (NYU) - Leonard N. Stern School of Business
Downloads 395 (95,836)

Abstract:

Loading...

ratings, regulation, asset complexity, corporate bonds, information costs

15.

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 (108,252)

Abstract:

Loading...

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

16.

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 221 (176,448)
Citation 4

Abstract:

Loading...

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

17.

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 (deceased), 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 204 (190,101)

Abstract:

Loading...

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

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 192 (200,870)
Citation 5

Abstract:

Loading...

19.

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 (NYU) - Leonard N. Stern School of Business, WU (Vienna University of Economics and Business) and Norwegian School of Economics (NHH)
Downloads 166 (227,906)

Abstract:

Loading...

20.

Political Uncertainty and Sovereign Bond Markets

Number of pages: 39 Posted: 25 Aug 2018
Lukas Handler and Rainer Jankowitsch
Vienna University of Economics and Business and WU (Vienna University of Economics and Business)
Downloads 140 (262,089)

Abstract:

Loading...

Political Uncertainty, Sovereign Bonds, Risk Premium, Liquidity

21.

Covenant Prices of US Corporate Bonds

Number of pages: 69 Posted: 20 Apr 2021
Lukas Handler, Rainer Jankowitsch and Patrick Weiss
Vienna University of Economics and Business, WU (Vienna University of Economics and Business) and Vienna Graduate School of Finance (VGSF)
Downloads 90 (356,787)

Abstract:

Loading...

covenants, corporate bonds, debt pricing

22.

The Effect of Credit, Liquidity and Rollover Risk on Bondholder Wealth in Mergers and Acquisitions

Number of pages: 47 Posted: 08 Jun 2021 Last Revised: 28 Oct 2021
Rainer Jankowitsch and Florian Pauer
WU (Vienna University of Economics and Business) and Vienna University of Economics and Business - Department of Finance, Accounting & Statistics
Downloads 45 (506,952)

Abstract:

Loading...

bond price, acquisition, merger, event study, co-insurance, rollover risk

23.

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 (deceased), 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 (818,713)
  • Add to Cart

Abstract:

Loading...

loan pricing, rating systems, loan portfolios

24.

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:

Loading...

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