The Alchemy of Cdo Credit Ratings
作者： Efraim Benmelech , Efraim Benmelech , Jennifer Dlugosz
DOI:
关键词: Bond credit rating 、 Structured finance 、 Finance 、 Business 、 Credit crunch 、 Credit reference 、 Credit enhancement 、 Collateralized loan obligation 、 Credit derivative 、 Financial system 、 Credit rating
摘要: Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing segments structured finance market, fueling 2003-2007 boom in syndicated loans leveraged buyouts. The credit crisis brought CLO issuance to a halt, as result loan market dried up. Similar other products, investors CLOs rely heavily on rating provided by agencies, yet little is known about practices. This paper attempts fill that gap. Using novel hand-collected data 3,912 tranches (CLO) we document practices analyze their existing structures.
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