MBS Ratings and the Mortgage Credit Boom

MBS Ratings and the Mortgage Credit Boom
Author :
Publisher : DIANE Publishing
Total Pages : 60
Release :
ISBN-10 : 9781437934618
ISBN-13 : 1437934617
Rating : 4/5 (18 Downloads)

Book Synopsis MBS Ratings and the Mortgage Credit Boom by : Adam Ashcraft

Download or read book MBS Ratings and the Mortgage Credit Boom written by Adam Ashcraft and published by DIANE Publishing. This book was released on 2010-11 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk; ratings contain useful info. for investors. There was also evidence of significant time variation in risk-adjusted credit ratings, incl. a progressive decline in standards around the MBS market peak between 2005 and mid-2007. Conditional on initial ratings, they observe underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages based on a simple ex ante model and deals with a high fraction of opaque low-documentation loans.


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