MBS Ratings And The Mortgage Credit Boom

The authors study credit ratings on subprime and Alt-A Mortgage-Backed Securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. Ratings are found to be correlated with ex-ante credit risk, and with subsequent deal performance, suggesting they contain useful information for investors. However, controlling for risk, they also find evidence of significant time variation in credit ratings, with ratings becoming progressively less conservative around the MBS market peak between 2005-07.

Provided by: Federal Reserve Bank of New York Topic: Data Management Date Added: Feb 2010 Format: PDF

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