The alchemy of CDO credit ratings

被引：101

作者：

Benmelech, Efraim ^{[1
,2
]}

Dlugosz, Jennifer ^{[1
,3
]}

机构：

[1] Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Harvard Univ, Sch Business, Boston, MA 02116 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 2009年 / 56卷 / 05期

基金：

美国国家科学基金会;

关键词：

Collateralized loan obligations; Credit rating; Leveraged buyouts securitization; MODEL;

D O I：

10.1016/j.jmoneco.2009.04.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Collateralized loan obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried up. Similar to other structured finance products, investors in CLOs rely heavily on credit rating provided by the rating agencies, yet little is known about CLO rating practices. This paper attempts to fill the gap. Using novel hand-collected data on 3912 tranches of collateralized loan obligations we document the rating practices of CLOs and analyze their structures. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：617 / 634

页数：18

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