Rainer Jankowitsch
Associate Professor at the Department of Finance, Banking and Insurance, WU (Vienna University of Economics and Business Administration), (Austria)
Research Interests:
Market Microstructure, Financial Institutions, Credit Risk, Liquidity Risk, Risk Management, Fixed Income
Selected Publications:
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2011 |
Friewald, Nils, Jankowitsch, Rainer, Subrahmanyam, Marti. Forthcoming. Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises. Journal of Financial Economics (Details) |
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2011 |
Jankowitsch, Rainer, Nashikkar, Amrut, Subrahmanyam, Marti. 2011. Price Dispersion in OTC Markets: A New Measure of Liquidity. Journal of Banking and Finance 35 343-357. (Details) |
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2010 |
Hornik, Kurt, Jankowitsch, Rainer, Pichler, Stefan, Lingo, Manuel, Winkler, Gerhard. 2010. Determinants of Heterogeneity in European Credit Ratings. Financial Markets and Portfolio Management 24 (3): 271-287. (Details) |
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2008 |
Jankowitsch, Rainer, Pullirsch, Rainer, Veza, Tanja. 2008. The Delivery Option in Credit Default Swaps. Journal of Banking and Finance 32 (7): 1269-1285. (Details) |
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2008 |
Jankowitsch, Rainer, Nettekoven, Michaela. 2008. Trading strategies based on term structure model residuals. European Journal of Finance 14 (4): 281-298. (Details) |
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2007 |
Jankowitsch, Rainer, Pichler, Stefan, Schwaiger, Walter. 2007. Modelling the economic value of credit rating systems. Journal of Banking and Finance 31 (1): 181-198. (Details) |
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2007 |
Hornik, Kurt, Jankowitsch, Rainer, Lingo, Manuel, Pichler, Stefan, Winkler, Gerhard. 2007. Validation of credit rating systems using multi-rater information. Journal of Credit Risk 3 (4): 1-27. (Details) |
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2006 |
Jankowitsch, Rainer, Mösenbacher, Hannes, Pichler, Stefan. 2006. Measuring the Liquidity Impact on EMU Government Bond Prices. European Journal of Finance 12 (2): 153-169. (Details) |
More Information:
Homepage
Contact Details:
Email: rainer(.)jankowitsch(@)wu(.)ac(.)at