| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9465 |
| DP9465 Structured Debt Ratings: Evidence on Conflicts of Interest | |
| Harald Hau; Matthias Efing | |
| 发表日期 | 2013-05-05 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | This paper tests for conflicts of interest in the rating process of European asset- and mortgage-backed securities based on a new aggregation method for a deal's different tranche ratings. Controlling for a large set of determinants of credit risk, we find that credit rating agencies provide better credit ratings for the structured products of those issuers that provide them with more overall bilateral rating business. This effect is particularly pronounced in the run-up to the subprime crisis and for structured products with the worst collateral. Rating favors to the largest clients generate economically significant competitive distortion, foster issuer concentration and contribute to the "too big to fail" status of large issuer banks. |
| 主题 | Financial Economics |
| 关键词 | Credit ratings Ratings inflation Conflicts of interest Structured debt |
| URL | https://cepr.org/publications/dp9465 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538300 |
| 推荐引用方式 GB/T 7714 | Harald Hau,Matthias Efing. DP9465 Structured Debt Ratings: Evidence on Conflicts of Interest. 2013. |
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