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    Vintage and Credit Rating: What matters in the ABX data during the credit crunch?


    Flavin, Thomas (2009) Vintage and Credit Rating: What matters in the ABX data during the credit crunch? Proceedings of the Federal Reserve Bank of San francisco, 1. pp. 1-35.

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    Abstract

    The mortgage backed securities market has dramatically declined during the credit crunch of 2007-2008. To understand the factors driving its demise we utilise a latent factor model representing common effects, asset rating effects, vintage of issuance effects and liquidity effects - extending the recent representation of CDO pricing in Longstaff and Rajan (2008). Common and liquidity effects are shown to have an increasing influence on the performance of the ABX-HE indices, with the role of vintage factors changing dramatically over the sample period of January 2006 to May 2008. Consistent with other evidence, risk from systemic factors has transferred risk to more highly rated tranches of these structured finance products.

    Item Type: Article
    Keywords: Vintage; Credit Rating; ABX; data; credit crunch;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 8454
    Depositing User: Thomas Flavin
    Date Deposited: 12 Jul 2017 16:06
    Journal or Publication Title: Proceedings of the Federal Reserve Bank of San francisco
    Refereed: Yes
    URI:

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