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摘要 Abstract

当前，银行摆脱他们所拥有的非流动性资产,以获得贷款领域的财务自由,寻找新的创新技术。这种将非流动性资产转换为流动资产的创新方法称为资产证券化。银行联合诸如按揭贷款这样的非流动性资产，将其销售给称之为特殊目的载体的机构(SPV)。

特殊目的机构将这些贷款证券出售给投资者。机构出售这些证券之前，他们从信用等级评定机构角度出发对其进行估价。资产证券化作为一个过程，减少信息的不对称;增加金融萧条;作为低成本的资金来源,降低了监管资本,同时也降低了银行的风险。资产证券化的过程总的来说，有许多优点，但从2007年年底，开始出现金融危机的预兆和裂缝。因此有必要研究在资产证券化的过程中出了什么问题,到底是什么导致了金融危机。

Banks, to get rid of illiquid assets they posses and to attain financial freedom in lending, searched for new innovative techniques. This innovative method of converting these illiquid assets in to liquid assets technique is called asset securitization. Banks pool up these illiquid assets like mortgage loans and sell it to agencies called as special purpose vehicle (SPV).

These special purpose vehicles convert these loans in to securities and sold to investors. Before agencies sold these securities they got it rated from rating agencies. Asset securitization as a process reduced information asymmetries; increased financial slack; served as a lower cost of financing source; reduced regulatory capital; and reduced bank risk. The process of asset securitization as a whole has many advantages but by the end of year 2007 it started to crack with financial crisis. It is therefore necessary to study what went wrong in the process of asset securitization that lead to financial crisis.

The study analyzes the role of asset securitization in financial crisis by analyzing the economics of asset securitization process as whole. Then in depth analysis of credit rating agencies methodologies and economics of how they rate these securities is studied. As it is difficult to analyze the rating processes and methodologies of all rating companies in this thesis I have decided to analyze Moody's investor service. Moody's has been selected because its name is synonym with quality in the market.

The growth and fall of mortgage industry performance of mortgage industry have been analyzed. The factors that led to financial crisis have been analyzed. The study analyze the moody's rating methodologies and rating models and updates to rating models. The short comes in rating methodologies and rating process has been discussed. The rating models updates effect on default rate of rating has been analyzed. Finally the effect of these default rates on financial crisis has been studied and analysis of role of asset securitization in financial crisis is studied.

Chapter 1

Introduction

The process of asset securitization started in the year 1870 when Government National Mortgage Association (GINNIE MAC) purchased pools of loans and converted in to securities and sold these securities to investors. In the year 1970 special innovative technique called tranching were used to distribute losses involved in these pools of loans backed by mortgages and sold to investors. Kaptan and Telang (2002) Asset securitization is the process of converting illiquid assets in to cash flows. Both financial intermediates such as banks and investors benefited from this process. Banks benefited with extra liquidity to lend more loans to able borrowers where as investors got opportunity to invest in capital market for more returns.

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