Did Subjectivity Play a Role in CDO Credit Ratings?

• 成果类型: Article
• 署名作者: Griffin, John M.; Tang, Dragon Yongjun
• 署名单位: University of Texas System; University of Texas Austin; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01748.x
• 发表日期: 2012
• 页码: 1293-1328
• 关键词: debt; bankruptcy; default

摘要

Analyzing 916 collateralized debt obligations (CDOs), we find that a top credit rating agency frequently made positive adjustments beyond its main model that amounted to increasingly larger AAA tranche sizes. These adjustments are difficult to explain by likely determinants, but exhibit a clear pattern: CDOs with smaller model-implied AAA sizes receive larger adjustments. CDOs with larger adjustments experience more severe subsequent downgrading. Additionally, prior to April 2007, 91.2% of AAA-rated CDOs only comply with the credit rating agency's own AA default rate standard. Accounting for adjustments and the criterion deviation indicates that on average AAA tranches were structured to BBB support levels.