| Item Type |
Journal paper
|
| Abstract |
We analyze whether information asymmetry between issuers and investors leads to rating model arbitrage in Collateralized Debt Obligation markets. Rating model arbitrage is defined as the issuer''s deliberate capitalization of information asymmetry at the investor''s cost on the basis of different rating processes. Using data from CDO transactions grouped by both rating agencies and underlying rating methodologies, we test for homogeneity of characteristic transaction features within the group and heterogeneity between the different groups. We find that the hypothesis stating non-existence of rating model arbitrage on the basis of information asymmetry does not hold as individual patterns of transaction characteristics within each group could be identified. |
| Authors |
Morkötter, Stefan & Westerfeld, Simone |
| Journal or Publication Title |
International Review of Financial Analysis |
| Language |
English |
| Subjects |
business studies |
| HSG Classification |
contribution to scientific community |
| Refereed |
Yes |
| Date |
March 2009 |
| Publisher |
Elsevier |
| Place of Publication |
Amsterdam [u.a.] |
| Volume |
18 |
| Number |
1/2 |
| Page Range |
21-33 |
| Number of Pages |
13 |
| ISSN |
1057-5219 |
| ISSN-Digital |
1873-8079 |
| Publisher DOI |
https://doi.org/10.1016/j.irfa.2009.01.002 |
| Depositing User |
Prof. Dr. Simone Westerfeld
|
| Date Deposited |
02 Mar 2009 10:48 |
| Last Modified |
16 Dec 2022 01:20 |
| URI: |
https://www.alexandria.unisg.ch/publications/51930 |
Rating model arbitrage in CDO markets: An empirical analysis
