- 學位論文
證券化的瑕疵：信用評等與金融危機
Flaws in Securitization: Optimistic Ratings and Financial Crisis
並列摘要
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.
參考文獻
延伸閱讀
- Kung, M. C. (2004). 金融資產証券化與信用風險 [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2004.00319
- 陳明道、張閔傑（2001）。政治力寄望於雙贏 競爭力恐淪於雙輸 由國際規範看我國金融機構不良資產的問題。會計研究月刊，(190)，107-114。https://doi.org/10.6650/ARM.2001.190.107
- 李威霆（2010）。資訊社會中的金融危機：論產業連動風險與社會信任危機。社會分析，(1)，1-49。https://www.airitilibrary.com/Article/Detail?DocID=22186689-201008-201109050012-201109050012-1-49
- 林俊銘（2016）。證券化利益衝突及其監理規範之研究--以美國次貸危機後之金融改革為核心〔博士論文，國立中正大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0033-2110201614041257
- Lu, H. J. (2010). Information Risk, Liquidity Risk, and Retained Interest in Securitization [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2010.10618