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~person:"Fabozzi, Frank J."
~subject:"Credit rating"
~subject:"Credit risk"
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Credit rating
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Asset-Backed Securities
47
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43
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Fabozzi, Frank J.
Vink, Dennis
13
Acharya, Viral V.
12
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8
Longstaff, Francis A.
8
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8
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6
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4
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4
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ECONIS (ZBW)
16
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1
How much do investors rely on credit ratings : empirical evidence from the U.S. and E.U. CLO primary market
Fabozzi, Frank J.
;
Breemen, Vivian van
;
Vink, Dennis
; …
- In:
Journal of financial services research
63
(
2023
)
2
,
pp. 221-247
Persistent link: https://www.econbiz.de/10014258846
Saved in:
2
Active loan trading
Fabozzi, Frank J.
;
Klingler, Sven
;
Mølgaard, Pia
; …
- In:
Journal of financial intermediation
46
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818064
Saved in:
3
Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities
Fabozzi, Frank J.
-
2015
relationship between the number of ratings and a
security
's funding cost; that is, more ratings will reduce funding costs and …
Persistent link: https://www.econbiz.de/10013022281
Saved in:
4
Non-U.S. Asset-Backed Securities : Spread Determinants and Over-Reliance on Credit Ratings
Vink, Dennis
-
2012
In this paper, we empirically investigate two economic issues (1) the factors that affect the primary market spread on non-U.S. asset-backed securities and (2) whether investors rely solely on credit ratings and ignore other credit-related factors. We do so by using a panel-data fixed-effects...
Persistent link: https://www.econbiz.de/10013116948
Saved in:
5
Exploring rating shopping for european triple a senior structured finance securities
Fabozzi, Frank J.
;
Nawas, Mike E.
;
Vink, Dennis
- In:
Finance research letters
20
(
2017
),
pp. 35-39
Persistent link: https://www.econbiz.de/10011806751
Saved in:
6
The information content of three credit ratings : the case of European residential mortgage-backed securities
Fabozzi, Frank J.
;
Vink, Dennis
- In:
The European journal of finance
21
(
2015
)
1/3
,
pp. 172-194
Persistent link: https://www.econbiz.de/10010519958
Saved in:
7
The Information Content of Three Credit Ratings : The Case of European Residential Mortgage-Backed Securities
Vink, Dennis
-
2015
We assess the information content of three credit ratings for tranches of newly issued European residential mortgage-backed securities. We find that tranches rated by three credit rating agencies where the rating by Standard & Poor's (S&P's) Ratings Service or Fitch is inferior to Moody's lead...
Persistent link: https://www.econbiz.de/10013033429
Saved in:
8
Looking beyond credit ratings : factors investors consider in pricing European asset-backed securities
Fabozzi, Frank J.
;
Vink, Dennis
- In:
European financial management : the journal of the …
18
(
2012
)
4
,
pp. 515-542
Persistent link: https://www.econbiz.de/10009665585
Saved in:
9
Determinants of primary market spreads on U.K. residential mortgage-backed securities and the implications for investor reliance on credit ratings
Fabozzi, Frank J.
;
Vink, Dennis
- In:
The journal of fixed income
21
(
2012
)
3
,
pp. 7-14
Persistent link: https://www.econbiz.de/10009532112
Saved in:
10
Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings
Fabozzi, Frank J.
-
2012
In this paper, we provide empirical evidence about the credit factors that impact the pricing of newly issued residential mortgage-backed securities (RMBS) in the U.K. There is an important implication of our findings for the current debate by regulators throughout the world regarding whether...
Persistent link: https://www.econbiz.de/10013099902
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