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Securitization Rating Performance and Agency Incentives

Rösch, Daniel and Scheule, Harald (2011) Securitization Rating Performance and Agency Incentives. BIS Working Paper Series 58, Working Paper.

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Abstract

This paper provides an empirical study, which assesses the historical performance of credit rating agency (CRA) ratings for securitizations before and during the financial crisis. The paper finds that CRAs do not sufficiently address the systematic risk of the underlying collateral pools as well as characteristics of the deal and tranche structure in their ratings. The paper also finds that ...

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Item type:Monograph (Working Paper)
Date:2011
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
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URLURL Type
http://ssrn.com/abstract=1669006UNSPECIFIED
Keywords: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
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this document will not be refereed
Created at the University of Regensburg:No
Item ID:28342
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