Exploring rating shopping for european triple a senior structured finance securities

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• 作者：Frank J. Fabozzi^a ; ^{frank.fabozzi@edhec.edu} ; Mike E. Nawas^b ; ^{mike.nawas@bishopsfieldcapital.com} ; Dennis Vink^c ; ^{d.vink@nyenrode.nl}
• 关键词：Credit ratings ; Europe ; Credit rating agencies ; Residential mortgage-backed securities ; Structured finance
• 刊名：Finance Research Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：20
• 期：Complete
• 页码：35-39
• 全文大小：266 K
• 卷排序：20

文摘

We test the rating shopping hypothesis for triple A senior European RMBS. Findings do not support rating shopping hypothesis for the pre-2007 period. The number of ratings is positively related to the new issuance spread. Findings question EU requirement that more complex securities have two ratings.