@article {Adams50, author = {Thomas Adams and Ann Rutledge and Sylvain Raynes}, title = {Joint Obligation Ratings in Consumer ABS}, volume = {17}, number = {1}, pages = {50--54}, year = {2011}, doi = {10.3905/jsf.2011.17.1.050}, publisher = {Institutional Investor Journals Umbrella}, 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{\textquoteright} 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}, issn = {1551-9783}, URL = {https://jsf.pm-research.com/content/17/1/50}, eprint = {https://jsf.pm-research.com/content/17/1/50.full.pdf}, journal = {The Journal of Structured Finance} }