Discussion

摘要

Efraim Benmelech began with a response to the discussants. He referred to a previous paper with Jennifer Dlugosz, "The Alchemy of CDO Credit Ratings," in which they discuss the mismatch of actual security ratings with models of ratings. In particular, he highlighted that the standard rating models predict a much higher proportion of AA+-rated securities than are actually seen in the data. One explanation he mentioned is that there might be a higher demand for AAA because of regulations.