کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089079 1478336 2014 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
CDOs and the financial crisis: Credit ratings and fair premia
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
CDOs and the financial crisis: Credit ratings and fair premia
چکیده انگلیسی
We study risk and return characteristics of CDOs using the market standard models. We find that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. Our results imply that credit ratings are not sufficient for pricing, which is surprising given their central role in structured finance markets. This illustrates limitations of the rating methodologies that are solely based on real-world default probabilities or expected losses and do not capture risk premia. We also demonstrate that CDO tranches have large exposure to systematic risk and thus their ratings and prices are likely to decline substantially when credit conditions deteriorate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 39, February 2014, Pages 1-13
نویسندگان
,