An empirical analysis of the effect of multiple credit ratings on reducing asset securitisation financing costs

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-11-30 DOI:10.1016/j.frl.2024.106545

Siqi Liu, Gongyuan Zhang, Feng Yuan

引用次数: 0

Abstract

This paper delves into the correlation between multiple credit ratings and the financing costs associated with asset securitisation, utilising data spanning from 2012 to 2022 pertaining to credit, corporate asset-backed securities, and asset-backed notes. The research reveals that incorporating multiple credit ratings, as opposed to relying solely on a single rating, favourably impacts the accessibility of more favourable financing costs. Furthermore, the employment of both the "issuer pays" and "investor pays" rating models, as compared to utilising just the "issuer pays" model, proves to be more effective in mitigating the financing costs of asset securitisation products.

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多重信用评级对降低资产证券化融资成本的实证分析

本文利用2012年至2022年信贷、公司资产支持证券和资产支持票据的数据，深入研究了多个信用评级与资产证券化相关的融资成本之间的相关性。研究表明，与仅仅依赖单一评级相比，合并多个信用评级有利于获得更有利的融资成本。此外，与仅使用“发行人支付”模式相比，同时使用“发行人支付”和“投资者支付”评级模型在降低资产证券化产品的融资成本方面更为有效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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