| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13534 |
| DP13534 Credit Ratings and Structured Finance | |
| Joel Shapiro; Jens Josephson | |
| 发表日期 | 2019-02-15 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | The poor performance of credit ratings of structured finance products in the financial crisis has prompted investigation into the role of credit rating agencies (CRAs) in designing and marketing these products. We analyze a two-period reputation model in which a CRA both designs and rates securities that are sold both to investors who are constrained to purchase highly rated securities and investors who are unconstrained. Assets are pooled and senior and junior tranches are issued with a waterfall structure. When the rating constraint is lax, the CRA will include only risky assets in the securitization pool, serving both types of investors without any rating inflation. Rating inflation is decreasing in the tightness of the rating constraint locally. But rating inflation may be non-monotonic in the rating constraint globally, with no rating inflation when the constraint is lax or tight. |
| 主题 | Financial Economics |
| 关键词 | Credit rating agencies Reputation Structured finance |
| URL | https://cepr.org/publications/dp13534 |
| 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/542350 |
| 推荐引用方式 GB/T 7714 | Joel Shapiro,Jens Josephson. DP13534 Credit Ratings and Structured Finance. 2019. |
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