The Alchemy of CDO Credit Ratings.¶
Benmelech, E., & Dlugosz, J. (2009). The Alchemy of CDO Credit Ratings. Journal of Monetary Economics, 56(5), 617-634.
Cited by¶
1 citation across 1 artifact.
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Primes¶
- Signal Devaluation
- The ratchet ran through the structured- finance boom: more AAA tranches were minted, the category swelled far beyond its historical meaning, and the posterior that "AAA implies negligible default risk" decayed — the collapse invariant realised abruptly when AAA-rated structured products defaulted en masse.
This sourceDocuments the rating practices and en-masse downgrading of highly-rated structured products, the collapse of AAA's informativeness.
Supported in partVerified against the work's full text
Shows AAA dominating CLO structures and investors losing faith in structured-finance ratings, but not a mass default or downgrade of AAA products.
“investor s lost confidence in structured finance credit ratings”
- The ratchet ran through the structured- finance boom: more AAA tranches were minted, the category swelled far beyond its historical meaning, and the posterior that "AAA implies negligible default risk" decayed — the collapse invariant realised abruptly when AAA-rated structured products defaulted en masse.
Verification¶
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Registry ID ref:7086ede67312 · see in the full table