The mismatch between credit ratings of securitizations and their underlying risks has been suggested as one source of the Global Financial Crisis, which resulted in the criticism of models and techniques applied by credit rating agencies (CRAs). This paper provides an empirical study, which assesses the historical performance of credit ratings for securitizations. The main ndings are as follows. Firstly, CRAs
do not suciently address the systematic risk of the underlying collateral pools as well as the tranche structure. Secondly, impairment risk is underestimated during origination years and years with high securitization volumes when CRA fee revenue is high. Thirdly, securitization ratings are unable to predict impairment risk.
Key words: Asset-backed Security, Credit Rating Agency, Collateralized Debt Obligation, Economic Downturn, Fee Revenue, Forecasting, Global Financial Crisis, Home Equity Loans, Impairment, Mortgage-backed Security, Rating, Securitization, Structured Finance Transaction
JEL classi cation: G20, G28, C51
학회소식
학회소식
[2010년 제 4차] Securitization rating performance and agency incent
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게시일 :
2010-12-09