The Alchemy of Cdo Credit Ratings

By Efraim Benmelech, Jennifer Dlugosz. 2009

299 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/952e868cfa8fac4147040e4b6218c9481ef51769

Citations in the corpus

• The Credit Crisis as a Problem in the Sociology of Knowledge1 (2011, unknown): “…just over half of the total credit-crisis losses that temporarily threatened the survival of the world’s second most prominent investment bank (Benmelech and Dlugosz 2009, p. 163, table 1; Lewis 2010, p. 215).58 What makes the trade interesting is that the Morgan Stanley group responsible…”
• The Sociology of Finance (2011, unknown): “But others securitized different income streams (accounts receivable, credit card payments, leasing revenues), and securitization can be done in more complicated ways to create products such as CDOs (Coval et al. 2009, Benmelech & Dlugosz 2009).”
• The Failure of Models that Predict Failure: Distance, Incentives and Defaults (2010, unknown): “First, in both the baseline model of equation (5) and the predictive model in equation (6) we interact the HPA variable with the borrower FICO score, the LTV ratio and the interest rate, to allow for the possibility that the effect of house price appreciation may vary depending on other characterist”
• How Did Increased Competition Affect Credit Ratings (2011, unknown): “However, a rich literature is emerging in this area, including Coval, Jurek, and Stafford (2008), Benmelech and Dlugosz (2009), Bolton, Freixas, and Shapiro (2009), Mathis, McAndrews, and Rochet (2009), and Skreta and Veldkamp (2009).”
• Do Rating Agencies Cater? Evidence from Rating-Based Contracts (2015, unknown): “Evidence on ratings of structured finance products is consistent with rating inflation (Mason and Rosner (2007), Benmelech and Dlugosz (2009)).”
• Did Securitization Affect the Cost of Corporate Debt (2011, unknown): “This pattern coupled with evidence provided by Benmelech and Dlugosz (2009) provide motivation for testing pricing differences across ratings classes on account of differential demand from CLOs.”
• Credit Ratings and the Evolution of the Mortgage-Backed Securities Market (2011, unknown): ““Fraction of AAA Tranches” equals the total principal amount of all the AAA tranches in an MBS deal divided by the total principal amount of all tranches in the deal.(4) “Big issuer” indicates that the market share falls into the top 10% of the market share distribution in a given year, while “Small”
• Rating Agency Adjustments to GAAP Financial Statements and Their Effect on Ratings and Credit Spreads (2015, unknown): “Archival pricing studies suffer from the circularity problem (Bernard and Schipper (1994), Holthausen and Watts (2001)).”
• Credit Ratings Failures and Policy Options (2010, unknown): “…is not only witnessed by the sharp drop in AAA-rated issues during the crisis shown in Figure 1 and by the massive downgrades by CRAs in 2007–2008 (Benmelech and Dlugosz, 2009b), but also by evidence that the actual ratings reported by CRAs for CDOs were inflated relative to those predicted by…”
• Rating Agencies in the Face of Regulation (2013, unknown): “With regards to structured …nance products, Benmelech and Dlugosz (2008) add another piece of evidence for rating in‡ation: in their sample roughly 70% of CDO issues were rated AAA. Gri¢ n and Tang (2009) report that actual sizes of AAA rated tranches for CDOs in their sample are on average 12.1% la”
• Credit Rating Agencies (2011, unknown): “62 Benmelech and Dlugosz (2009) examined 4,000 structured bonds that were backed by loan portfolios.”