UNIGE document Scientific Article
previous document  unige:85435  next document
add to browser collection
Title

Structured Debt Ratings: Evidence on Conflicts of Interest

Authors
Published in Journal of Financial Economics. 2015, vol. 116, p. 46-60
Abstract We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers that provide them with more bilateral securitization business. Such rating favors are larger for very complex structured debt deals and for deals issued during the credit boom period. Our analysis is based on a new deal-level rating statistic that accounts for the full distribution of tranche ratings below the AAA cut-off point of a structured debt deal.
Keywords Credit ratingRatings inflationConflict of interestStructured debt
Full text
Article (Published version) (436 Kb) - public document Free access
Structures
Citation
(ISO format)
HAU, Harald, EFING, Matthias. Structured Debt Ratings: Evidence on Conflicts of Interest. In: Journal of Financial Economics, 2015, vol. 116, p. 46-60. https://archive-ouverte.unige.ch/unige:85435

102 hits

63 downloads

Update

Deposited on : 2016-07-25

Export document
Format :
Citation style :