Thoughts on Credit Risk Diversification: Comparing Credit Ratings Volatility Across Asset Classes

Emerald - 2002
PETERRUBINSTEIN1, LEO M.TILMAN2, ALANTODD3
1Managing director at Bear, Steams & Co. Inc. in New York
2Managing director at Bear, Steams & Co. Inc. and contributing editor of The Journal of Risk Finance
3Vice president at Bear, Stearns & Co. Inc. in New York

Tóm tắt

This article discusses credit migration of diversified loan pool securitizations, as evidenced by the ratings transitions of mortgage‐backed securities (MBS) and asset‐backed securities (ABS). The authors contrast the ratings (i.e., credit) stability of MBS and ABS relative to ratings migration of general obligation corporate credit. They also use holding period returns to compare the total return portfolios of MBS/ABS to portfolios of senior unsecured corporate obligations.

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Tài liệu tham khảo

Brady Brooks, 2002, Standard & Poor's Special Report

Fabozzi Frank J, Frank J. Fabozzi Associates, 200

Hamilton David T, 2002, Moody's Investors Service Special Comment

Hu Joseph, 2002, Standard & Poor's Special Report

Hu Joseph, 2002, Standard & Poor's Special Report

Kozel Peter P, 2002, Standard & Poor's Special Report

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Emerald

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