Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/36692 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Frankfurt School - Working Paper Series No. 145
Verlag: 
Frankfurt School of Finance & Management, Frankfurt a. M.
Zusammenfassung: 
Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such as the iTraxx Europe have been used in the credit derivatives market for price communication. During the financial crisis, implied correlations have been quite volatile indicating the growing fraction of systematic credit risk of STCDOs. This paper analyses the determinants of tranche implied base correlations for the period September 2006 until April 2009. It will be shown that realized asset correlations between iTraxx Europe corporates are not able to explain the extreme movements of tranche implied correlations during the financial crisis. Additionally, it will be seen that the worsening creditworthiness of market participants in the interbank market as well as growing pressure on their refinancing conditions correlated significantly with the development of implied base correlations of iTraxx tranches.
Schlagwörter: 
Implied Correlation
Asset Correlation
Systematic Credit Risk
Market Liquidity
Funding Liquity
Dokumentart: 
Working Paper

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