Ratings Arbitrage and Structured Products

被引：4
|
作者：
Hull, John [1 ]
White, Alan [1 ]
机构：
[1] Univ Toronto, Joseph L Rotman Sch Management, Toronto, ON, Canada
来源：
JOURNAL OF DERIVATIVES | 2012年 / 20卷 / 01期
关键词：
RISK;
D O I：
10.3905/jod.2012.20.1.080
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article examines the criteria used by credit rating agencies when they rate structured products. We assume that some investors use credit ratings as a basis for valuing products. This assumption leads to a necessary condition for a credit ratings criterion to be arbitrage free. We find that the criterion used by S&P and Fitch does not satisfy the condition and explain that this criterion could have misled investors when subprime mortgages were being securitized.
引用
收藏
页码：80 / 86
页数：7
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