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The Journal of Structured Finance

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Joint Obligation Ratings in Consumer ABS

Thomas Adams, Ann Rutledge and Sylvain Raynes
The Journal of Structured Finance Spring 2011, 17 (1) 50-54; DOI: https://doi.org/10.3905/jsf.2011.17.1.050
Thomas Adams
is a partner at Paykin Krieg & Adams, LLP, in New York, NY.
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  • For correspondence: tadams@pka-law.com
Ann Rutledge
is a partner at R&R Consulting in New York, NY.
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  • For correspondence: rrcons@nyc.rr.com
Sylvain Raynes
is a partner at R&R Consulting in New York, NY.
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  • For correspondence: sraynes@nyc.rr.com
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Abstract

Current rating agency practices do not appear to factor into the ratings of insured consumer asset-backed securities (ABS) the effects of correlation between an insurer default and a transaction default. As a result, the rating agencies assign lower ratings to insured bonds from consumer ABS transactions even when the performance of the underlying assets and the performance of the insurer may have a low correlated probability of default. In this article, the authors’ goal is to show the significant rating impact of correlation. They provide a detailed analysis and conclude that a significant rating benefit could be conferred by the proper inverse correlation structure.

TOPICS: Asset-backed securities (ABS), portfolio theory, portfolio construction

  • Copyright © 2011 Trade Metrics Corp. All rights reserved. Not to be reproduced or redistributed without permission.
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The Journal of Structured Finance: 17 (1)
The Journal of Structured Finance
Vol. 17, Issue 1
Spring 2011
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Joint Obligation Ratings in Consumer ABS
Thomas Adams, Ann Rutledge, Sylvain Raynes
The Journal of Structured Finance Apr 2011, 17 (1) 50-54; DOI: 10.3905/jsf.2011.17.1.050

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Joint Obligation Ratings in Consumer ABS
Thomas Adams, Ann Rutledge, Sylvain Raynes
The Journal of Structured Finance Apr 2011, 17 (1) 50-54; DOI: 10.3905/jsf.2011.17.1.050
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    • Abstract
    • BACKGROUND
    • DISCUSSION OF THE ANALYSIS
    • HISTORICAL EXAMPLE OF LOW CORRELATION BETWEEN INSURER AND ASSET PERFORMANCE
    • CONCLUSION
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