Rating Performance and Agency Incentives of Structured Finance Transactions

The mismatch between credit ratings of structured finance transactions and their true risks has been a source of the Global Financial Crisis which manifested in criticism of models and techniques applied by credit rating agencies (CRA). This paper provides an empirical study which assesses the historical performance of credit ratings for structured finance transactions and fi nds that CRAs do not include all factors explaining securitization impairment risk. In addition, CRA ratings for selected asset categories underestimate risk in origination years when the fee revenue is high

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Year of publication:	2010
Authors:	Roesch, Daniel
Other Persons:	Scheule, Harald (Harry) (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Asset-Backed Securities \| Asset-backed securities \| Ratingagentur \| Rating agency \| Strukturiertes Produkt \| Structured product \| Welt \| World \| Prinzipal-Agent-Theorie \| Agency theory \| Hypothek \| Mortgage \| Finanzkrise \| Financial crisis \| Notleidender Kredit \| Non-performing loan \| Verbriefung \| Securitization

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Extent:	1 Online-Ressource (41 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 22, 2009 erstellt
Other identifiers:	10.2139/ssrn.1443788 [DOI]
Classification:	G20 - Financial Institutions and Services. General ; G28 - Government Policy and Regulation ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013151688