Implied correlations of iTraxx tranches during the financial crisis
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Herrmann-Pillath, Carsten, 2009. "Kulturelle Hybridisierung und Wirtschaftstransformation in China," Frankfurt School - Working Paper Series 115, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten, 2008. "Neuroeconomics, naturalism and language," Frankfurt School - Working Paper Series 108, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten, 2010. "Entropy, function and evolution: naturalizing Peircian semiosis," Frankfurt School - Working Paper Series 134, Frankfurt School of Finance and Management.
- Demidova-Menzel, Nadeshda & Heidorn, Thomas, 2007. "Gold in the investment portfolio," Frankfurt School - Working Paper Series 87, Frankfurt School of Finance and Management.
- Schalast, Christoph & Tiemann, Marcel & Tuppi, Pascal, 2009. "Staatsfonds - neue Akteure an den Finanzmärkten?," Frankfurt School - Working Paper Series 114, Frankfurt School of Finance and Management.
- Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009. "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series 109, Frankfurt School of Finance and Management.
- Schanz, Kay-Michael & Richard, Jörg & Schalast, Christoph, 2004. "Unternehmen im Prime Standard staying public oder going private? Nutzenanalyse der Börsennotiz," Frankfurt School - Working Paper Series 60, Frankfurt School of Finance and Management.
- Hirsch, Christian & Bannier, Christina E., 2007.
"The economics of rating watchlists: Evidence from rating changes,"
CFS Working Paper Series
2008/02, Center for Financial Studies (CFS).
- Hirsch, Christian & Bannier, Christina E., 2007. "The economics of rating watchlists: evidence from rating changes," Frankfurt School - Working Paper Series 88, Frankfurt School of Finance and Management.
- Heidorn, Thomas & Siragusano, Tindaro, 2004. "Die Anwendbarkeit der Behavioral Finance im Devisenmarkt," Frankfurt School - Working Paper Series 52, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten & Libman, Alexander & Xiaofan, Yu, 2010. "State and market integration in China: A spatial econometrics approach to 'local protectionism'," Frankfurt School - Working Paper Series 137, Frankfurt School of Finance and Management.
- C. Herrmann-Pillath., 2011.
"A Neurolinguistic Approach to Performativity in Economics,"
VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 2.
- Carsten Herrmann-Pillath, 2010. "A neurolinguistic approach to performativity in economics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 17(3), pages 241-260.
- Herrmann-Pillath, Carsten, 2009. "A neurolinguistic approach to performativity in economics," Frankfurt School - Working Paper Series 123, Frankfurt School of Finance and Management.
- Schalast, Christoph & Stralkowski, Ingo, 2008. "10 Jahre deutsche Buyouts," Frankfurt School - Working Paper Series 89, Frankfurt School of Finance and Management.
- Bannier, Christina E. & Grote, Michael H., 2008. "Equity gap? - Which equity gap? On the financing structure of Germany's Mittelstand," Frankfurt School - Working Paper Series 106, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten, 2008. "The naturalistic turn in economics: implications for the theory of finance," Frankfurt School - Working Paper Series 105, Frankfurt School of Finance and Management.
- Christina E. Bannier & Patrick Behr & Andre Güttler, 2010.
"Rating opaque borrowers: why are unsolicited ratings lower?,"
Review of Finance, European Finance Association, vol. 14(2), pages 263-294.
- Bannier, Christina E. & Behr, Patrick & Güttler, André, 2009. "Rating opaque borrowers: why are unsolicited ratings lower?," Frankfurt School - Working Paper Series 133, Frankfurt School of Finance and Management.
- Hankir, Yassin & Rauch, Christian & Umber, Marc P., 2009. "It's the market power, stupid! Stock return patterns in international bank M&A," Frankfurt School - Working Paper Series 129, Frankfurt School of Finance and Management.
- Heidorn, Thomas & Gerhold, Mirko, 2004. "Investitionen und Emissionen von Convertible Bonds (Wandelanleihen)," Frankfurt School - Working Paper Series 50, Frankfurt School of Finance and Management.
- Christina E. Bannier, 2010.
"Is there a Holdup Benefit in Heterogeneous Multiple Bank Financing?,"
Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 166(4), pages 641-661, December.
- Bannier, Christina E., 2009. "Is there a hold-up benefit in heterogeneous multiple bank financing?," Frankfurt School - Working Paper Series 117, Frankfurt School of Finance and Management.
- Christina Bannier, 2007.
"Heterogeneous multiple bank financing: does it reduce inefficient credit-renegotiation incidences?,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(4), pages 445-470, December.
- Bannier, Christina E., 2007. "Heterogeneous multiple bank financing: does it reduce inefficient credit-renegotation incidences?," Frankfurt School - Working Paper Series 83, Frankfurt School of Finance and Management.
- Anders, Dietmar & Binder, Andreas & Hesdahl, Ralf & Schalast, Christoph & Thöne, Thomas, 2004. "Aktuelle Fragen des Bank- und Kapitalmarktrechts I: Non-Performing-Loans/Faule Kredite - Handel, Work-Out, Outsourcing und Securitisation," Frankfurt School - Working Paper Series 54, Frankfurt School of Finance and Management.
- Libman, Alexander, 2010.
"Constitutions, regulations, and taxes: Contradictions of different aspects of decentralization,"
Journal of Comparative Economics, Elsevier, vol. 38(4), pages 395-418, December.
- Libman, Alexander, 2010. "Constitutions, regulations, and taxes: Contradictions of different aspects of decentralization," Frankfurt School - Working Paper Series 138, Frankfurt School of Finance and Management.
- Heidorn, Thomas & Meyer, Bernd & Pietrowiak, Alexander, 2004. "Performance-Effekte nach Directors' Dealings in Deutschland, Italien und den Niederlanden," Frankfurt School - Working Paper Series 57, Frankfurt School of Finance and Management.
- Roßbach, Peter, 2009. "Die Rolle des Internets als Informationsbeschaffungsmedium in Banken," Frankfurt School - Working Paper Series 120, Frankfurt School of Finance and Management.
- Wollersheim, Jutta & Barthel, Erich, 2008. "Kulturunterschiede bei Mergers & Acquisitions: Entwicklung eines Konzeptes zur Durchführung einer Cultural Due Diligence," Frankfurt School - Working Paper Series 94, Frankfurt School of Finance and Management.
- Schanz, Kay-Michael & Schalast, Christoph, 2006. "Wertpapierprospekte: Markteinführungspublizität nach EU-Prospektverordnung und Wertpapierprospektgesetz 2005," Frankfurt School - Working Paper Series 74, Frankfurt School of Finance and Management.
- Dickler, Robert A. & Schalast, Christoph, 2006. "Distressed debt in Germany: What's next? Possible innovative exit strategies," Frankfurt School - Working Paper Series 73, Frankfurt School of Finance and Management.
- Chevalier, Pierre & Heidorn, Thomas & Krieger, Christian, 2003. "Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken," Frankfurt School - Working Paper Series 49, Frankfurt School of Finance and Management.
- Bannier, Christina E. & Hänsel, Dennis N., 2007. "Determinants of banks' engagement in loan securitization," Frankfurt School - Working Paper Series 85, Frankfurt School of Finance and Management.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
- Umber, Marc P. & Grote, Michael H. & Frey, Rainer, 2010. "Europe integrates less than you think: Evidence from the market for corporate control in Europe and the US," Frankfurt School - Working Paper Series 150, Frankfurt School of Finance and Management.
- Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
- Kostka, Genia & Zhou, Jianghua, 2010. "Chinese firms entering China's low-income market: Gaining competitive advantage by partnering governments," Frankfurt School - Working Paper Series 147, Frankfurt School of Finance and Management.
- Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing, 2013. "Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3694-3703.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kostka, Genia & Zhou, Jianghua, 2010. "Chinese firms entering China's low-income market: Gaining competitive advantage by partnering governments," Frankfurt School - Working Paper Series 147, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten, 2011.
"The evolutionary approach to entropy: Reconciling Georgescu-Roegen's natural philosophy with the maximum entropy framework,"
Ecological Economics, Elsevier, vol. 70(4), pages 606-616, February.
- Herrmann-Pillath, Carsten, 2010. "The evolutionary approach to entropy: Reconciling Georgescu-Roegen's natural philosophy with the maximum entropy framework," Frankfurt School - Working Paper Series 140, Frankfurt School of Finance and Management.
- Schäffler, Christian & Schmaltz, Christian, 2009. "Market liquidity: an introduction for practitioners," Frankfurt School - Working Paper Series 131, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten, 2010. "Meaning and function in the theory of consumer choice: dual selves in evolving networks," Frankfurt School - Working Paper Series 153, Frankfurt School of Finance and Management.
- Heidorn, Thomas & Winker, Michael & Löw, Christian, 2010. "Funktionsweise und Replikationstil europäischer Exchange Traded Funds auf Aktienindices," Frankfurt School - Working Paper Series 139, Frankfurt School of Finance and Management.
- Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series 164, Frankfurt School of Finance and Management.
- Kostka, Genia & Hobbs, William, 2010. "Embedded interests and the managerial local state: methanol fuel-switching in China," Frankfurt School - Working Paper Series 152, Frankfurt School of Finance and Management.
- Umber, Marc P. & Grote, Michael H. & Frey, Rainer, 2010. "Europe integrates less than you think: Evidence from the market for corporate control in Europe and the US," Frankfurt School - Working Paper Series 150, Frankfurt School of Finance and Management.
- Heidorn, Thomas & Kaiser, Dieter G. & Voinea, Andre, 2010. "The value-added of investable hedge fund indices," Frankfurt School - Working Paper Series 141, Frankfurt School of Finance and Management.
- C. Herrmann-Pillath., 2011.
"A Neurolinguistic Approach to Performativity in Economics,"
VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 2.
- Carsten Herrmann-Pillath, 2010. "A neurolinguistic approach to performativity in economics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 17(3), pages 241-260.
- Herrmann-Pillath, Carsten, 2009. "A neurolinguistic approach to performativity in economics," Frankfurt School - Working Paper Series 123, Frankfurt School of Finance and Management.
- Inklaar, Robert & Koetter, Michael & Noth, Felix, 2012. "Who's afraid of big bad banks? Bank competition, SME, and industry growth," Frankfurt School - Working Paper Series 197, Frankfurt School of Finance and Management.
- Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten, 2009. "Social capital, Chinese style: individualism, relational collectivism and the cultural embeddedness of the institutions-performance link," Frankfurt School - Working Paper Series 132, Frankfurt School of Finance and Management.
- Boeing, Philipp & Sandner, Philipp, 2011. "The innovative performance of China's national innovation system," Frankfurt School - Working Paper Series 158, Frankfurt School of Finance and Management.
- Dietmar Harhoff & Elisabeth Mueller & John Van Reenen, 2014.
"What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies,"
Journal of Economics & Management Strategy, Wiley Blackwell, vol. 23(1), pages 204-224, March.
- Harhoff, Dietmar, 2012. "What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies," Discussion Papers in Business Administration 14327, University of Munich, Munich School of Management.
- Dietmar Harhoff & Elisabeth Mueller & John Van Reenen, 2013. "What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies," CEP Discussion Papers dp1193, Centre for Economic Performance, LSE.
- Harhoff, Dietmar & Mueller, Elisabeth & Van Reenen, John, 2012. "What are the channels for technology sourcing? Panel data evidence from German companies," Frankfurt School - Working Paper Series 187, Frankfurt School of Finance and Management.
- Harhoff, Dietmar & Mueller, Elisabeth & Van Reenen, John, 2013. "What are the channels for technology sourcing? Panel data evidence from German companies," LSE Research Online Documents on Economics 51524, London School of Economics and Political Science, LSE Library.
- Carsten Herrmann-Pillath, 2012.
"Institutions, distributed cognition and agency: rule-following as performative action,"
Journal of Economic Methodology, Taylor & Francis Journals, vol. 19(1), pages 21-42, March.
- Herrmann-Pillath, Carsten, 2011. "Institutions, distributed cognition and agency: rule-following as performative action," Frankfurt School - Working Paper Series 157, Frankfurt School of Finance and Management.
- Andriani, Pierpaolo & Herrmann-Pillath, Carsten, 2011. "Transactional innovation and the de-commoditization of the Brazilian coffee trade," Frankfurt School - Working Paper Series 162, Frankfurt School of Finance and Management.
- Löchel, Horst & Li, Helena Xiang, 2011. "Understanding the high profitability of Chinese banks," Frankfurt School - Working Paper Series 177, Frankfurt School of Finance and Management.
- Herrmann-Pillath, Carsten, 2011. "Making sense of institutional change in China: The cultural dimension of economic growth and modernization," Frankfurt School - Working Paper Series 181, Frankfurt School of Finance and Management.
More about this item
Keywords
Implied Correlation; Asset Correlation; Systematic Credit Risk; Market Liquidity; Funding Liquity;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:145. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - Leibniz Information Centre for Economics). General contact details of provider: http://edirc.repec.org/data/hfbfide.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.