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 available to securitizers in their ratings of subprime mortgage … Moody's Investor Services projections of loss for these mortgage pools. The percent of principal balances rated triple-A is …

index, the only source of daily securities prices in subprime mortgage markets. Our results show that investors initially …

ABX.HE indexed credit default swaps on baskets of mortgage-backed securities are now the main benchmark used by … financial institutions to mark their subprime mortgage portfolios to market. However, we find that current prices for the ABX ….HE indices are inconsistent with any finite assumption for mortgage default rates, and that ABX.HE price changes are uncorrelated …

, Strange Trip -- Chapter 2. From Mortgages to Mortgage Securitization -- Chapter 3. The Rise of the Vertically Integrated …

causing the financial crisis as the major credit rating agencies (CRAs). CRAs gave mortgage backed securities (MBSs) inflated …