Did Subjectivity Play a Role in CDO Credit Ratings?
分析了916个债务抵押债券（CDO），发现一家顶级评级机构经常在其主要模型之外做出正向调整，导致AAA级分档规模越来越大，且调整越大的CDO后续降级越严重。
ABSTRACT Analyzing 916 collateralized debt obligations (CDOs), we find that a top credit rating agency frequently made positive adjustments beyond its main model that amounted to increasingly larger AAA tranche sizes. These adjustments are difficult to explain by likely determinants, but exhibit a clear pattern: CDOs with smaller model‐implied AAA sizes receive larger adjustments. CDOs with larger adjustments experience more severe subsequent downgrading. Additionally, prior to April 2007, 91.2% of AAA‐rated CDOs only comply with the credit rating agency's own AA default rate standard. Accounting for adjustments and the criterion deviation indicates that on average AAA tranches were structured to BBB support levels.