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Implied correlations of iTraxx tranches during the financial crisis
16 references·1 citing·49 second hop
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this work references cited by second hop

References

  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2008Liquidity and leverage2,557 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2008Deciphering the Liquidity and Credit Crunch 2007-081,026 cited
  • 2009Rating opaque borrowers: why are unsolicited ratings lower?128 cited
  • 2008Innovations in credit risk transfer: implications for financial stability99 cited
  • 2012Market Liquidity and Funding Liquidity*80 cited
  • 2009Interpreting Deviations from Covered Interest Parity during the Financial Market Turmoil of 2007-0880 cited
  • 2007Heterogeneous multiple bank financing: does it reduce inefficient credit-renegotiation incidences?62 cited
  • 2005The relevance of real-time data in estimating reaction functions for the euro area61 cited
  • 2009The Economic Function of Credit Rating Agencies - What Does the Watchlist Tell Us?61 cited
  • 2006The endogeneity approach of the theory of optimum currency areas: what does it mean for ASEAN + 3?54 cited
  • 2006- Wertpapierprospekte - Markteinführungspublizität nach EU-Prospektverordnung und Wert- papierprospektgesetz 200550 cited

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2007
Deskription und Bewertung strukturierter Produkte unter besonderer Berücksichtigung verschiedener Marktszenarien
50 cited
  • 2010Estimating asset correlations from stock prices or default rates—Which method is superior?46 cited
  • Cited by

    • 2013Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis19 cited