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The role of ratings in structured finance: issues and implications

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  • Bank for International Settlements
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    Abstract

    Introduction In May 2003, the Committee on the Global Financial System (CGFS) decided to establish a Working Group on Ratings in Structured Finance to explore the role of rating agencies in the rapidly evolving markets for structured finance instruments. To facilitate a better understanding of this role and of structured finance markets more broadly, the Working Group was mandated to identify and explain methodological differences that exist between the rating of structured finance instruments and more traditional credit products, and to explore the various methodological and organisational challenges involved in rating structured finance products. This report documents the Working Group's findings, complementing earlier work by the CGFS and other official forums, such as CGFS (2003) and Joint Forum (2004b). It highlights several of the characteristics of structured products, challenges arising for the rating agencies and other market participants, and implications for central banks and investors. The report is based on the Group's discussions, written contributions by Group members on a number of technical topics, and series of interviews with rating agency officials and other participants in the structured finance markets.

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    Bibliographic Info

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    This book is provided by Bank for International Settlements in its series CGFS Papers with number 23 and published in 2005.

    ISBN: 92-9131-676-8
    Handle: RePEc:bis:biscgf:23

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    1. repec:reg:rpubli:345 is not listed on IDEAS
    2. John Y. Campbell & Glen B. Taksler, 2003. "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 58(6), pages 2321-2350, December.
    3. Raynes, Sylvain & Rutledge, Ann, 2003. "The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation," OUP Catalogue, Oxford University Press, number 9780195152739, September.
    4. S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
    5. Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005. "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2203-2228, November.
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    Cited by:
    1. Gabriele Galati & Philip Wooldridge, 2009. "The euro as a reserve currency: a challenge to the pre-eminence of the US dollar?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 1-23.
    2. Byström, Hans N.E., 2008. "The Microfinance Collateralized Debt Obligation: A Modern Robin Hood?," World Development, Elsevier, vol. 36(11), pages 2109-2126, November.
    3. Forster, Josef, 2008. "The Optimal Regulation of Credit Rating Agencies," Discussion Papers in Economics 5169, University of Munich, Department of Economics.
    4. Abel Elizalde, 2006. "CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs," Working Papers wp2006_0608, CEMFI.
    5. Mario, Cuevas, 2007. "A Practical Guide to the Assessment of the Vulnerability of the Non-Financial Private Sector," MPRA Paper 1375, University Library of Munich, Germany.

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