Exploring rating shopping for european triple a senior structured finance securities

Frank Fabozzi (), Mike E. Nawas and Dennis Vink

Finance Research Letters, 2017, vol. 20, issue C, 35-39

Abstract: In much of the research with respect to the use of credit ratings, the notion of rating shopping features prominently. One form of rating shopping predicts that investors price the risk that arises when securities have fewer than three ratings. Inconsistent with what rating shopping would predict, our study shows that for the largest European structured finance market, the triple A sector of the senior European residential mortgage-backed market prior to 2007, investors demanded a premium for more ratings. Moreover, we find that certain characteristics unique to structured finance securities that investors perceive as complex, determine whether issuers opt for a higher number of triple A ratings.

Keywords: Credit ratings; Europe; Credit rating agencies; Residential mortgage-backed securities; Structured finance (search for similar items in EconPapers)
JEL-codes: G12 G24 L11 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:20:y:2017:i:c:p:35-39

DOI: 10.1016/j.frl.2016.08.013

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