| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w16206
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| 来源ID | Working Paper 16206
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| CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009 |
| Richard Stanton; Nancy Wallace
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| 发表日期 | 2010-07-22
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| 出版年 | 2010
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| 语种 | 英语
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| 摘要 | This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the recent financial crisis. Using a comprehensive sample of CMBS deals from 1996 to 2008, we show that (unlike the residential mortgage market) the loans underlying CMBS did not significantly change their characteristics during this period, commercial lenders did not change the way they priced a given loan, defaults remained in line with their levels during the entire 1970s and 1980s and, overall, the CMBS and CMBX markets performed as normal during the financial crisis (at least by the standards of other recent market downturns). We show that the recent collapse of the CMBS market was caused primarily by the rating agencies allowing subordination levels to fall to levels that provided insufficient protection to supposedly "safe" tranches. This ratings inflation in turn allowed financial firms to engage in ratings arbitrage. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Corporate Finance
|
| URL | https://www.nber.org/papers/w16206
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573881
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推荐引用方式
GB/T 7714 |
Richard Stanton,Nancy Wallace. CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009. 2010.
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文件名：
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w16206.pdf
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格式：
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Adobe PDF
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