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Article: Did credit rating agencies make unbiased assumptions on CDOs?

TitleDid credit rating agencies make unbiased assumptions on CDOs?
Authors
KeywordsBanks
Other Depository Institutions
Micro Finance Institutions
Investment Banking
Ratings and Ratings Agencies
Issue Date2011
PublisherAmerican Economic Association. The Journal's web site is located at http://www.aeaweb.org/aer/index.php
Citation
American Economic Review, 2011, v. 101 n. 3, p. 125-130 How to Cite?
AbstractWe compare key CDO assumptions from two departments within the same rating agency but with different financial incentives. Assumptions made by the ratings division are more favorable than those by the surveillance department. The differences are not explained by collateral switching during the ramp-up period, a long time gap between reports, nor the collapse of the CDO market in 2007 Additionally, CDOs rated with more favorable assumptions by the ratings group were more likely to be subsequently downgraded. As the useful signals from the surveillance group were seemingly ignored, these findings suggest rating agencies bias towards high ratings. © 2011 AEA. The American Economic Association is hosted by Vanderbilt University.
DescriptionArticle appears in Papers and proceedings of the 123rd Annual Meeting of the Amerian Economic Association, Denver, CO , USA, 6-9 January 2011
Persistent Identifierhttp://hdl.handle.net/10722/139810
ISSN
2015 Impact Factor: 3.833
2015 SCImago Journal Rankings: 8.048
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorGriffin, JMen_HK
dc.contributor.authorTang, DYen_HK
dc.date.accessioned2011-09-23T05:56:35Z-
dc.date.available2011-09-23T05:56:35Z-
dc.date.issued2011en_HK
dc.identifier.citationAmerican Economic Review, 2011, v. 101 n. 3, p. 125-130en_HK
dc.identifier.issn0002-8282en_HK
dc.identifier.urihttp://hdl.handle.net/10722/139810-
dc.descriptionArticle appears in Papers and proceedings of the 123rd Annual Meeting of the Amerian Economic Association, Denver, CO , USA, 6-9 January 2011-
dc.description.abstractWe compare key CDO assumptions from two departments within the same rating agency but with different financial incentives. Assumptions made by the ratings division are more favorable than those by the surveillance department. The differences are not explained by collateral switching during the ramp-up period, a long time gap between reports, nor the collapse of the CDO market in 2007 Additionally, CDOs rated with more favorable assumptions by the ratings group were more likely to be subsequently downgraded. As the useful signals from the surveillance group were seemingly ignored, these findings suggest rating agencies bias towards high ratings. © 2011 AEA. The American Economic Association is hosted by Vanderbilt University.en_HK
dc.languageengen_US
dc.publisherAmerican Economic Association. The Journal's web site is located at http://www.aeaweb.org/aer/index.phpen_HK
dc.relation.ispartofAmerican Economic Reviewen_HK
dc.rightsThe American Economic Review. Copyright © American Economic Association.-
dc.rights.uriCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectBanks-
dc.subjectOther Depository Institutions-
dc.subjectMicro Finance Institutions-
dc.subjectInvestment Banking-
dc.subjectRatings and Ratings Agencies-
dc.titleDid credit rating agencies make unbiased assumptions on CDOs?en_HK
dc.typeArticleen_HK
dc.identifier.emailTang, DY: yjtang@hku.hken_HK
dc.identifier.authorityTang, DY=rp01096en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1257/aer.101.3.125en_HK
dc.identifier.scopuseid_2-s2.0-79958266269en_HK
dc.identifier.hkuros193984en_US
dc.identifier.hkuros195855-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-79958266269&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume101en_HK
dc.identifier.issue3en_HK
dc.identifier.spage125en_HK
dc.identifier.epage130en_HK
dc.identifier.isiWOS:000291150300023-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridGriffin, JM=55436269300en_HK
dc.identifier.scopusauthoridTang, DY=13606932900en_HK

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