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Assessing Risk on Subprime Mortgage Backed Securities : Did Credit Rating Agencies Misrepresent Risk to Investors?

Barnett, Harold C. - 2011

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...

Persistent link: https://www.econbiz.de/10013121890

Rating Securitisation Structures

Reis-Roy, Calvin - 2012

The growth of securitisation has added a new class of securities to the financial markets. Rating these securities involves evaluating complex risks which are not inherent in conventional market instruments like bonds. This article decomposes the collateral and structural risks involved in...

Persistent link: https://www.econbiz.de/10013096508

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

What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-Backed Securities (CMBS)

An, Xudong - 2015

Subordination is designed to provide credit risk protection for senior commercial mortgage-backed securities (CMBS) tranches by allocating the initial credit losses to the more junior tranches. Subordination level should in theory reflect the underlying credit risk of the CMBS pool. In this...

Persistent link: https://www.econbiz.de/10013038442

The Role of the Securitization Process in the Expansion of Subprime Credit

Nadauld, Taylor - 2010

We analyze the structure and attributes of subprime mortgage-backed securitization deals originated between 1997 and … 2007. Our data set allows us to link loan-level data for over 6.7 million subprime loans to the securitization deals into … which the loans were sold. We show that the securitization process, including the assignment of credit ratings, provided …

Persistent link: https://www.econbiz.de/10013152661

CDOs and Systematic Risk : Why Bond Ratings are Inadequate

Krahnen, Jan Pieter - 2009

This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...

Persistent link: https://www.econbiz.de/10013158385

Reforming the Selection of Rating Agencies in Securitization Markets : A Modest Proposal

Esaki, Howard - 2016

One of the roots of the 2008 financial crisis was a deterioration of rating agency standards, which contributed to the widespread defaults in the residential mortgage-backed securities (RMBS) sector. In this paper we suggest a change to the rating agency selection process that removes much of...

Persistent link: https://www.econbiz.de/10012977074

What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-Backed Securities (CMBS)

An, Xudong - 2015

Subordination is designed to provide credit risk protection for senior CMBS tranches by allocating the initial credit losses to the more junior tranches. Subordination level should in theory reflect the underlying credit risk of the CMBS pool. In this paper, we test the hypothesis that...

Persistent link: https://www.econbiz.de/10013016409

Information Loss in Mortgage Securitization : Effect on Loan Modification

Le, Thao - 2016

soft information in mortgage securitization can impose a substantial cost on mortgage servicing, which raises important …

Persistent link: https://www.econbiz.de/10012988353

Systematic credit risk in securitised mortgage portfolios

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012659310