Discussion of 'Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation'

摘要

A central feature of the financial market crisis starting in 2007 has been the dramatic decline in both the valuation and the credit ratings of mortgage-backed securities as illustrated by the senior tranches of securitization structures. Market participants, investors and regulators all have been surprised by the behavior of credit ratings and the underlying nature and limitations of ratings. The financial market crisis has demonstrated the failures of credit rating agencies in our economic system, while simultaneously emphasizing the extent to which our system of financial regulation relies heavily upon ratings. For example, even some of the strategies created by the Federal Reserve to provide liquidity to the marketplace in the aftermath of the market crisis rely upon eligibility standards for assets based upon rating agency classification of the underlying instruments.