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CDOs and the financial crisis : credit ratings and fair premia
Wojtowicz, Marcin - In: Journal of banking & finance 39 (2014), pp. 1-13
Persistent link: https://www.econbiz.de/10010340776
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CDOs and the financial crisis : credit ratings and fair premia
Wojtowicz, Marcin - 2011
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...
Persistent link: https://www.econbiz.de/10011383027
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Revolving rating analysts and ratings of mortgage-backed and asset-backed securities : evidence from LinkedIn
Jiang, John Xuefeng; Wang, Isabel Yanyan; Wang, K. Philip - In: Management science : journal of the Institute for … 64 (2018) 12, pp. 5832-5854
Persistent link: https://www.econbiz.de/10011964594
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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
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Exploring the Role and Responsibility of Credit Rating Agencies in the Transition to a Sustainable Economy
McAdam, Matthew - 2013
stakeholders for CRAs in relation to sustainability for the first time and presents their emerging views on the role and … processes in any systematic and transparent way, while the regulatory reform agenda for CRAs also largely ignores sustainability … investors, issuers and other market participants to devote greater attention to sustainability issues …
Persistent link: https://www.econbiz.de/10013085163
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CSR und Finanzratings : nachhaltige Finanzwirtschaft: Rating statt Raten!
Kopp, Heidrun E. (ed.) - 2016 - Auflage 2016
Persistent link: https://www.econbiz.de/10011438134
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An investigation of corporate sustainability value to investors before and after the financial crisis
Baas, Rudolf B.; Georgakopoulos, Georgios; Vasileiou, … - In: International journal of economics and finance 8 (2016) 6, pp. 37-48
Persistent link: https://www.econbiz.de/10011494672
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Rating agencies and information efficiency : do multiple credit ratings pay off? ; [the case of RMBS rating migration]
Morkoetter, Stefan; Stebler, Roman; Westerfeld, Simone - 2015
We empirically investigate the benefits of multiple ratings not only at issuance of debt instruments but also during the subsequent monitoring phase. Using a record of monthly credit rating migration data on all U.S. residential mortgage-backed securities rated by Standard & Poor's, Moody's, and...
Persistent link: https://www.econbiz.de/10011343380
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Competition in the credit rating industry : benefits for investors and issuers
Morkoetter, Stefan; Stebler, Roman R.; Westerfeld, Simone - In: Journal of banking & finance 75 (2017), pp. 235-257
Persistent link: https://www.econbiz.de/10011742163
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Regulatory ratios, CDS spreads, and credit ratings in a favorable economic environment
Handorf, William Charles - In: Journal of banking regulation 18 (2017) 3, pp. 268-285
Persistent link: https://www.econbiz.de/10012010236