Thoughts on Credit Risk Diversification: Comparing Credit Ratings Volatility Across Asset Classes

Abstract

This article discusses credit migration of diversified loan pool securitizations, as evidenced by the ratings transitions of mortgage‐backed securities (MBS) and asset‐backed securities (ABS). The authors contrast the ratings (i.e., credit) stability of MBS and ABS relative to ratings migration of general obligation corporate credit. They also use holding period returns to compare the total return portfolios of MBS/ABS to portfolios of senior unsecured corporate obligations.

Citation

RUBINSTEIN, P., TILMAN, L.M. and TODD, A. (2002), "Thoughts on Credit Risk Diversification: Comparing Credit Ratings Volatility Across Asset Classes", Journal of Risk Finance, Vol. 3 No. 3, pp. 24-35. https://doi.org/10.1108/eb043492