Multirating decision model validation: the relevance of the quality of securitization issues

Peña-Cerezo, Miguel A.; Rodríguez‐Castellanos, Arturo; Ibáñez-Hernández, Francisco J.

doi:10.21314/jrmv.2013.109

Cited by 7 publications

(3 citation statements)

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“…The fact that more than one official agency is asked to rate the issues is a signal that a specific agency is not chosen for its potential advantageous assessment. Therefore, it can be seen that for the funds overall, there is a direct relationship between the mean quality of the issues and the number of ratings requested (Peña-Cerezo et al, 2013). In turn, these differences are more bloated the lower the mean quality of the collateral.…”

Section: Agencymentioning

confidence: 95%

Does rating shopping exist in spanish securitization issues?

Cerezo¹,

Castellanos²,

Hernández³

2015

cuadernosgestion

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Section: Agencymentioning

confidence: 95%

Does rating shopping exist in spanish securitization issues?

Cerezo¹,

Castellanos²,

Hernández³

2015

cuadernosgestion

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“…Apart from the factors already considered, we also need to factor in a number of variables traditionally linked to determining the yield of securitisation bonds that act as control variables in the explanatory model proposed. Such variables include the rating awarded (especially when issues are highly complex), the underlying asset portfolio, the number of agencies that award ratings for each issue, the credit enhancement associated with the provision of public sector guarantees, the maturity period of bonds, the market interest rate and time dummies to measure the level of sophistication of markets and investors and the effect of the crisis (Peña-Cerezo et al 2013;Vink and Fabozzi 2009;Thibeault 2008a, 2008b;Firla-Cuchra and Jenkinson 2005;Firla-Cuchra 2005;Beccacece and Tasca 2002).…”

Section: Multi-tranche Yield and Structure Design Determinants: Liter...mentioning

confidence: 99%

Multi-tranche securitisation structures: more than just a zero-sum game?

Peña-Cerezo

Rodríguez‐Castellanos

Ibáñez-Hernández

2018

The European Journal of Finance

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This paper contributes to the literature by incorporating the factors that explain multi-tranche structuring and the yield offered by securitisation bonds into a comprehensive model. Results indicate that the degree of complexity of multi-tranche securitisation structures is related to market completeness and shortening of information asymmetry. We also find that the complexity of multitranche structure enables the yield offered by triple-A bonds to be reduced but not the average yield, with tranching being a zero-sum game. This research uses a database comprising all the MBS and ABS issues (1993)(1994)(1995)(1996)(1997)(1998)(1999)(2000)(2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010)(2011) in Spain, one of the world's main securitisation markets. Analysing this long period has enabled us, for the first time, to contrast the disruptive effect of the Great Financial Crisis on the relationships analysed in the securitisation market.

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“…Some studies focus on the relationship between rating quality and the number of CRAs; Becker and Milbourn () observe an inverse relationship. Conversely, Peña‐Cerezo et al () find that increasing the number of CRAs that rate securitization issues increases the reliability of the rating for each issue. Xia () finds that the introduction of a new agency increases ratings quality.…”

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confidence: 98%

The Risk–Return Binomial After Rating Changes

Romero

Fernández

2015

Economic Notes

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Risk-averse investors take into consideration risk-return tradeoff for decide their new position after the release of relevant information. This paper analyzes the informational content of rating change announcements focusing on the joint reaction they cause on the risk-return binomial. Our purpose is to identify the main factors that signal which announcements are informative. To do that we estimate a binomial logit model for the probability of informative content of credit rating announcements.We analyze a sample of rating events affecting Spanish listed firms from 2000 to 2010.Empirical results show significant differences in the informative content between positive and negative rating events. For both kinds of announcements, we find higher informative content when agencies agree about the new level of solvency, whereas those affecting high covered firm that operate in highly regulated sectors are the less informative. Other factors as the presence of a previous rating refinements or trends in the credit quality reveals different information depending on the direction of the rating event. Finally, we find the announcements after de crisis disclose less information, suggesting a loss of reputation of CRAs. Abstract.Risk-averse investors take into consideration risk-return tradeoff for decide their new position after the release of relevant information. This paper analyzes the informational content of rating change announcements focusing on the joint reaction they cause on the risk-return binomial. Our purpose is to identify the main factors that signal which announcements are informative. To do that we estimate a binomial logit model for the probability of informative content of credit rating announcements.We analyze a sample of rating events affecting Spanish listed firms from 2000 to 2010.Empirical results show significant differences in the informative content between positive and negative rating events. For both kinds of announcements, we find higher informative content when agencies agree about the new level of solvency, whereas those affecting high covered firm that operate in highly regulated sectors are the less informative. Other factors as the presence of a previous rating refinements or trends in the credit quality reveals different information depending on the direction of the rating event. Finally, we find the announcements after de crisis disclose less information, suggesting a loss of reputation of CRAs. JEL Classification: G12, G14, G24, C22Key words: Abnormal return, abnormal systematic risk, abnormal volatility, logit model Acknowledgements:

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Multirating decision model validation: the relevance of the quality of securitization issues

Cited by 7 publications

References 0 publications

Does rating shopping exist in spanish securitization issues?

Does rating shopping exist in spanish securitization issues?

Multi-tranche securitisation structures: more than just a zero-sum game?

The Risk–Return Binomial After Rating Changes

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