Asset-backed securitisation and financial stability: the downgrading delay effect

Mario La Torre and Fabiomassimo Mango
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Mario La Torre: Università di Roma La Sapienza
Fabiomassimo Mango: Università di Roma La Sapienza

BANCARIA, 2012, vol. 09, 54-67

Abstract: Do rating models embody correctly the impact of macroeconomic variables on debtors’ solvency, determining a lag in downgrading? In pre-crisis periods, when interest rates increases are recorded as well as decreases in real growth rates, rating assessments fail to register risk increases in Abss securities, proceeding to downgrade only later, when macroeconomic variables have generated negative effects on Abs flow of funds. In such periods, agencies delayed downmarking, announcing them only after the crisis had taken place and the transaction criticalities were already displayed

JEL-codes: G01 G14 G15 G21 G23 G24 G28 G32 (search for similar items in EconPapers)
Date: 2012
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