Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058096 | Economics Letters | 2016 | 4 Pages |
Abstract
â¢We replicate Griffin et al. (2013) using post-crisis CDO data.â¢Single-rated AAA tranches are much more common after the crisis.â¢Dual-rated AAA tranches have lower yield spreads than single-rated ones.â¢Dual-rated AAA tranches are also downgraded less than single-rated ones.â¢Results indicate continued rating shopping but diminished rating catering.
We re-examine rating shopping and catering among CDOs by replicating a portion of Griffin et al. (2013) using post-crisis data. Our results are consistent with continued rating shopping and diminished rating catering behavior after the great financial crisis.
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Authors
Robert H. Owlett, Fan Yu,