The path to impairment: Do credit-rating agencies anticipate default events of structured finance transactions?

Bodenstedt, M; Rösch, D; Scheule, H

The path to impairment: Do credit-rating agencies anticipate default events of structured finance transactions?

Bodenstedt, M Rösch, D Scheule, H

Permalink

Publication Type:: Chapter
Citation:: Contemporary Issues in Financial Institutions and Markets, 2016, 2 pp. 31 - 50
Issue Date:: 2016-04-14

Closed Access

	Filename	Description	Size
	THE PATH TO IMPAIRMENT.pdf	Published version	918.49 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Bodenstedt, M	en_US
dc.contributor.author	Rösch, D	en_US
dc.contributor.author	Scheule, H https://orcid.org/0000-0001-7283-5654	en_US
dc.date.issued	2016-04-14	en_US
dc.identifier.citation	Contemporary Issues in Financial Institutions and Markets, 2016, 2 pp. 31 - 50	en_US
dc.identifier.isbn	9781138809932	en_US
dc.identifier.uri	http://hdl.handle.net/10453/97167
dc.description.abstract	© 2015 Taylor & Francis. All rights reserved. The global financial crisis (GFC) has led to a general discussion of ihe accuracy and declining standards of credit-rating agency ratings. Substantial criticism has been directed towards the securitisation market, which has been identified as one of the main sources of the crisis. This study focuses on the ability of rating agencies to adjust their ratings prior to impairments of structured finance transactions. We develop a new measure that quantifies a rating agency's performance in advance of defaults. By analysing a large number of impaired transactions rated by Moody's Investors Service, we find that rating quality deteriorated during the GFC. Furthermore, we identify tranche-specific and macroeconomic factors that explain differences in Moody's performance.	en_US
dc.relation.ispartof	Contemporary Issues in Financial Institutions and Markets	en_US
dc.title	The path to impairment: Do credit-rating agencies anticipate default events of structured finance transactions?	en_US
dc.type	Chapter
utslib.citation.volume	2	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
utslib.for	150203 Financial Institutions (incl. Banking)	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	2	en_US

Abstract:

© 2015 Taylor & Francis. All rights reserved. The global financial crisis (GFC) has led to a general discussion of ihe accuracy and declining standards of credit-rating agency ratings. Substantial criticism has been directed towards the securitisation market, which has been identified as one of the main sources of the crisis. This study focuses on the ability of rating agencies to adjust their ratings prior to impairments of structured finance transactions. We develop a new measure that quantifies a rating agency's performance in advance of defaults. By analysing a large number of impaired transactions rated by Moody's Investors Service, we find that rating quality deteriorated during the GFC. Furthermore, we identify tranche-specific and macroeconomic factors that explain differences in Moody's performance.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/97167