This paper assesses how the presence of rating actions and discordant evaluations by a different rival credit rating agency (CRA) affects the timing of downgrades and the likelihood of rating convergence in the aftermath of the subprime crisis. We analyse a large sample of subprime...

This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured...

The Securities and Exchange Commission (SEC) has asked whether credit rating agencies (CRA) committed fraud by misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the detriment of investors, the CRA did not incorporate information...

With the exception of the investment banks, there probably has been no other financial actor with as great a hand in causing the financial crisis as the major credit rating agencies (CRAs). CRAs gave mortgage backed securities (MBSs) inflated credit ratings, enabling financial institutions to...