Ashcraft, A., Schuermann, T., 2008. Understanding the securitization of subprime mortgage credit, Foundations and Trends in Finance 2 (3), 191–309.
Ashcraft, A., Goldsmith-Pinkham, P., Vickery, J., 2010. MBS ratings and the mortgage credit boom, Working paper, Federal Reserve Bank of New York.
Bar-Isaac, H., Shapiro, J., 2013. Ratings quality over the business cycle, Journal of Financial Economics 108, 62–78.
Benmelech, E., Dlugosz, J., 2009a. The alchemy of CDO credit ratings, Journal of Monetary Economics 56, 617–634.
Benmelech, E., Dlugosz, J., 2009b. The credit rating crisis. NBER Macroeconomics Annual 24, 161–207.
Bolder, D.J., 2001. Affine term-structure models: Theory and implementation, Working paper, Bank of Canada.
Bolton, P., Freixas, X., Shapiro, J., 2012. The credit ratings game, Journal of Finance 67, 85–112.
Coval, J.D., Jurek, J.W., Stafford, E., 2009a. The economics of structured finance, Journal of Economic Perspectives 23, 3–25.
Coval, J.D., Jurek, J.W., Stafford, E., 2009b. Economic catastrophe bonds, American Economic Review 99, 628–666.
Cox, J.C., Ingersoll, J.E., Jr., Ross, S.A., 1985. A theory of the term structure of interest rates, Econometrica 53, 385–407.
Credit rating agencies and the financial crisis: Hearing before the Committee on Oversight and Government Reform, United States House of Representatives, 110th Cong. (October 22, 2008) (testimony of Raymond W. McDaniel).
Dell’Ariccia, G., Igan, D., Laeven, L., 2012. Credit booms and lending standards: Evidence from the subprime mortgage market, Journal of Money, Credit and Banking 44, 367–384.
Demyanyk, Y., Van Hemert, O., 2011. Understanding the subprime mortgage crisis, Review of Financial Studies 24, 1848–1880.
Fama, E.F., MacBeth, J.D., 1973. Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607–636.
Fitch Ratings, 2009, ResiLogicTM: U.S. residential mortgage loss model criteria, Residential Mortgage Criteria Report, New York: Fitch, Inc., August 11.
Gorton, G.B., 2008. The panic of 2007, Working paper, Yale School of Management.
Griffin, J.M., Tang, D.Y., 2011. Did credit rating agencies make unbiased assumptions on CDOs? American Economic Review 101, 125–130.
Griffin, J.M., Tang, D.Y., 2012. Did subjectivity play a role in CDO credit ratings? Journal of Finance 67, 1293–1328.
Griffin, J.M., Nickerson, J., Tang, D.Y., 2013. Rating shopping or catering? An examination of the response to competitive pressure for CDO credit ratings, Review of Financial Studies 26, 2270–2310.
Hakenes, H., Schnabel, I., 2010. Credit risk transfer and bank competition, Journal of Financial Intermediation 19, 308–332.
He, J., Qian, J., Strahan, P.E., 2011. Credit ratings and the evolution of the mortgage-backed securities market, American Economic Review 101, 131–135.
He, J., Qian, J., Strahan, P.E., 2012. Are all ratings created equal? The impact of issuer size on the pricing of mortgage-backed securities, Journal of Finance 67, 2097–2137.
He, J., Qian, J., Strahan, P.E., 2013. Does the market understand rating shopping? Predicting MBS losses with initial yields, Working paper, University of Georgia, Boston College, and NBER.
Keys, B.J., Mukherjee, T., Seru, A., Vig, V., 2010. Did securitization lead to lax screening? Evidence from subprime loans, Quarterly Journal of Economics 125, 307–362.
Kobayashi, M., Osano, H., 2012. Nonrecourse financing and securitization, Journal of Financial Intermediation 21, 659–693.
Mathis, J., McAndrews, J., Rochet, J.-C., 2009. Rating the raters: Are reputation concerns powerful enough to discipline rating agencies? Journal of Monetary Economics 56, 657–674.
Mayer, C., Pence, K., Sherlund, S.M., 2009. The rise in mortgage defaults, Journal of Economic Perspectives 23, 27–50.
Mian, A., Sufi, A., 2009. The consequences of mortgage credit expansion: Evidence from the U.S. mortgage default crisis, Quarterly Journal of Economics 124, 1449–1496.
Moody’s, 1999. The evolving meaning of Moody’s bond ratings, Moody’s Investors Service, Global Credit Research, New York: Moody’s, Inc., August.
Moody’s, 2003. Moody’s mortgage metrics: A model analysis of residential mortgage pools, Moody’s Investors Service, Structured Finance Special Report, New York: Moody’s, Inc., April 1.![new window](/gs32/images/newin.png)
Moody’s, 2007. Comparing ratings on jointly-rated U.S. structured finance securities: 2007 update, Moody’s Investors Service, Structured Finance Special Report, New York: Moody’s, Inc., March 30.
Moody’s, 2008. Moody’s approach to rating US residential mortgage-backed securities, Moody’s Investors Service, Structured Finance Rating Methodology, New York: Moody’s, Inc., December 31.
Moody’s, 2010. Moody’s mortgage metrics prime: A quasi-structural model of prime mortgage portfolio losses, Moody’s Research Labs, Technical Document, New York: Moody’s, Inc., July 2.
Nadauld, T.D., Sherlund, S.M., 2013. The impact of securitization on the expansion of subprime credit, Journal of Financial Economics 107, 454–476.
Petersen, M.A., 2009. Estimating standard errors in finance panel data sets: Comparing approaches, Review of Financial Studies 22, 435–480.
Sangiorgi, F., Sokobin, J., Spatt, C., 2009. Credit-rating shopping, selection and the equilibrium structure of ratings, Working paper, Carnegie Mellon University.
Sangiorgi, F., Spatt, C., 2013. Opacity, credit rating shopping, and bias, Working Paper, Carnegie Mellon University.
Skreta, V., Veldkamp, L., 2009. Ratings shopping and asset complexity: A theory of ratings inflation, Journal of Monetary Economics 56, 678–695.
Standard & Poor’s, 2004. U.S. residential subprime mortgage criteria, Standard & Poor’s Structured Finance, New York: Standard & Poor’s, Inc., September 1.![new window](/gs32/images/newin.png)
Standard & Poor’s, 2007. Principles-based rating methodology for global structured finance securities, Standard & Poor’s Ratings Direct Research, New York: Standard & Poor’s, Inc., May 29.
Standard & Poor’s, 2008. Standard & Poor’s makes enhancements to the U.S. RMBS ratings process, Standard & Poor’s Structured Finance, New York: Standard & Poor’s, Inc., September 12.
Standard & Poor’s, 2009a. Understanding Standard & Poor’s rating definitions, Standard & Poor’s Ratings Direct Research, New York: Standard & Poor’s, Inc., June 3.
Standard & Poor’s, 2009b. Methodology and assumptions for rating U.S. RMBS prime, Alternative-A, and subprime loans, Standard & Poor’s Ratings Direct Research, New York: Standard & Poor’s, Inc., September 10.
The role of credit rating agencies in the structured finance market: Hearing before the Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises of the Committee on Financial Services, United States House of Representatives, 110th Cong. (September 27, 2007) (testimony of Michael Kanef and Vickie A. Tillman).
Thoresen, T., 2010. National Taiwan University is first to select mortgage data feed from S&P, Inside Reference Data, May 1. Available at http://newweb.management.ntu.edu.tw/chinese/ib/upload/National_Taiwan_University_is_First_to_Select_Mortgage_Data_Feed_From_S&P.pdf, accessed October 5, 2014.![new window](/gs32/images/newin.png)
U.S. Securities and Exchange Commission, 2008. Summary report of issues identified in the commission staff’s examinations of select credit rating agencies. Available at http://www.sec.gov/news/studies/2008/craexamination070808.pdf, accessed October 5, 2014.
U.S. Securities and Exchange Commission, 2014. SEC adopts credit rating agency reform rules. Available at
http://www.sec.gov/News/PressRelease/Detail/PressRelease/1370542776658#.VAB0fsWSw10, accessed October 5, 2014.
Wasserman, S., Faust, K., 1994. Social network analysis: Methods and applications (Cambridge University Press, Cambridge, UK).