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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林修葳 | |
| dc.contributor.author | Jui-Jung Tsai | en |
| dc.contributor.author | 蔡瑞容 | zh_TW |
| dc.date.accessioned | 2021-06-16T16:29:35Z | - |
| dc.date.available | 2018-01-16 | |
| dc.date.copyright | 2013-01-16 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2013-01-03 | |
| dc.identifier.citation | References
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Mathis, Jerome, James McAndrews, and Jean-Charles Rochet, 2009, Rating the raters: Are reputation concerns powerful enough to discipline rating agencies? Journal of Monetary Economics 56, 657–674. Mayer, Christopher, Karen Pence, and Shane M. Sherlund, 2009, The rise in mortgage defaults, Journal of Economic Perspectives 23, 27–50. Mian, Atif, and Amir Sufi, 2009, The consequences of mortgage credit expansion: Evidence from the U.S. mortgage default crisis, Quarterly Journal of Economics 124, 1449–1496. Moody’s, 1999, The evolving meaning of Moody’s bond ratings, Moody’s Investors Service, Global Credit Research, New York: Moody’s, Inc., August. Moody’s, 2008, Moody’s approach to rating US residential mortgage-backed securities, Moody’s Investors Service, Structured Finance Rating Methodology, New York: Moody’s, Inc., December 31. Nadauld, Taylor D., and Shane M. Sherlund, 2009, The role of the securitization process in the expansion of subprime credit, Working paper, Ohio State University and Federal Reserve Board. Sangiorgi, Francesco, Jonathan Sokobin, and Chester Spatt, 2009, Credit-rating shopping, selection and the equilibrium structure of ratings, Working paper, Carnegie Mellon University. Securities and Exchange Commission (SEC), 2008, Summary report of issues identified in the commission staff’s examinations of select credit rating agencies. Available at http://www.sec.gov/news/studies/2008/craexamination070808.pdf. Skreta, Vasiliki, and Laura Veldkamp, 2009, Ratings shopping and asset complexity: A theory of ratings inflation, Journal of Monetary Economics 56, 678–695. Standard & Poor’s, 2004, U.S. residential subprime mortgage criteria, Standard & Poor’s Structured Finance, New York: Standard & Poor’s, Inc., September 1. Standard & Poor’s, 2007, Principles-based rating methodology for global structured finance securities, Standard & Poor’s Ratings Direct Research, New York: Standard & Poor’s, Inc., May 29. Standard & Poor’s, 2008, Standard & Poor’s makes enhancements to the U.S. RMBS ratings process, Standard & Poor’s Structured Finance, New York: Standard & Poor’s, Inc., September 12. Standard & Poor’s, 2009a, Methodology and assumptions for rating U.S. RMBS prime, Alternative-A, and subprime loans, Standard & Poor’s Ratings Direct Research, New York: Standard & Poor’s, Inc., September 10. Standard & Poor’s, 2009b, Understanding Standard & Poor’s rating definitions, Standard & Poor’s Ratings Direct Research, New York: Standard & Poor’s, Inc., June 3. The role of credit rating agencies in the structured finance market: Hearing before the Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises of the Committee on Financial Services, United States House of Representatives, 110th Cong. (September 27, 2007) (testimony of Michael Kanef and Vickie A. Tillman). Thoresen, Tine, 2010, National Taiwan University is first to select mortgage data feed from S&P, Inside Reference Data, May 1. Available at http://newweb.management.ntu.edu.tw/chinese/ib/upload/National_Taiwan_University_is_First_to_Select_Mortgage_Data_Feed_From_S&P.pdf. White, Lawrence J., 2010, Markets: The credit rating agencies, Journal of Economic Perspectives 24, 211–226. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/63231 | - |
| dc.description.abstract | Overly optimistic credit ratings of complex structured financial products, particularly in residential mortgage-backed securities (RMBS), are widely cited as contributing to the recent financial crisis. We use a unique comprehensive data set, precisely linking RMBS deals, securities, and over 18.1 million mortgage loans, to reveal the flaws of the securitization process and the extent of rating inflation in three dimensions: (a) across the different types of non-agency RMBS (subprime, Alt-A, and prime jumbo), (b) among the three leading credit rating agencies (S&P, Moody’s, and Fitch), and (c) over the entire business cycle (growth, boom, and recession) between 2002 and 2008. We find significant mismatches between the published ratings and the underlying risk between 2004 and mid-2007. During this period, loan quality deteriorated, the level of credit enhancement weakened, and the credit rating agencies failed to address the increased risk, all of which contributed to overall rating inflation. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T16:29:35Z (GMT). No. of bitstreams: 1 ntu-101-F94724002-1.pdf: 1265608 bytes, checksum: 2157f68d7b87573d21448810dde19ec4 (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 1. Introduction…………01
2. Literature Review…………03 2.1 Theoretical Literature…………03 2.2 Empirical Literature…………04 3. Data…………07 4. Rating Process for Non-Agency RMBS…………09 5. Key Factors of Rating Models…………10 5.1 Key Factors of Pool Analysis…………10 5.2 Key Factors of Cash Flow Analysis…………14 5.2.1 Credit Enhancement Factors…………14 5.2.2 Macroeconomic Factors…………19 6. Inconsistency of Non-Agency RMBS Credit Ratings…………24 7. Mismatches Between Credit Ratings and Underlying Risk…………28 7.1 Determinants of the Percentage of the Deal Rated AAA…………30 7.2 Benchmark Model…………32 7.3 Mismatches Between Published Ratings and Underlying Risk…………34 8. Conclusions…………41 References…………43 | |
| dc.language.iso | en | |
| dc.subject | 信用評等機構 | zh_TW |
| dc.subject | 住宅房貸擔保證券 | zh_TW |
| dc.subject | 次級房貸 | zh_TW |
| dc.subject | 金融危機 | zh_TW |
| dc.subject | 證券化 | zh_TW |
| dc.subject | Securitization | en |
| dc.subject | Residential Mortgage-Backed Securities (RMBS) | en |
| dc.subject | Subprime Mortgages | en |
| dc.subject | Financial Crisis | en |
| dc.subject | Credit Rating Agencies | en |
| dc.title | 證券化的瑕疵：信用評等與金融危機 | zh_TW |
| dc.title | Flaws in Securitization: Optimistic Ratings and Financial Crisis | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-1 | |
| dc.description.degree | 博士 | |
| dc.contributor.oralexamcommittee | 沈仰斌,池祥麟,古永嘉,韓千山,郭憲章 | |
| dc.subject.keyword | 信用評等機構,住宅房貸擔保證券,次級房貸,金融危機,證券化, | zh_TW |
| dc.subject.keyword | Credit Rating Agencies,Residential Mortgage-Backed Securities (RMBS),Subprime Mortgages,Financial Crisis,Securitization, | en |
| dc.relation.page | 46 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2013-01-03 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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