Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions
Powerpoint Presentation Slides
Lawrence J. White Download Presentation
Joseph R. Mason & Joshua Rosner Download Presentation
James R. Follain Download Presentation
Sean J. Egan Download Presentation
Draft paper of “Where Did the Risk Go?” (1.9 MB)
Thursday, May 3, 2007
10:00am - 2:00pm
Building on their previous research on the subprime mortgage market, Joseph Mason (Drexel University) and Joshua Rosner (Graham Fisher & Company) argue that many of the current difficulties in mortgage-backed securities (MBS) and collateralized debt obligations (CDOs) can be attributed to a misapplication of agency ratings. Changes in mortgage origination and servicing make it difficult to evaluate the risk of MBS and CDOs, and the process of creating them requires the ratings agencies to arguably become part of the underwriting team, leading to legal risks and incentive conflicts. Mason and Rosner analyze the fundamental differences between rating structured finance products like MBS and CDOs and traditional products like corporate debt, and conclude that the inefficiencies of rating MBS and CDOs are leading investors to discount U.S. markets.
10:00 a.m. - Registration
10:15 a.m. - Panel
Presentation: Where Did the Risk Go?
Joseph R. Mason, LeBow School of Business, Drexel University
Joshua Rosner, Graham Fisher & Company
Sylvain Raynes, R&R Consulting
James R. Follain, James R. Follain LLC
Sean J. Egan, Egan - Jones Ratings Company
Andrew Davidson, President, Andrew Davidson & Co.
John C. Weicher, Director, Center for Housing and Financial Markets, Hudson Institute
12:30 p.m. – 1:00 p.m. Lunch
1:00 p.m. – 2:00 p.m.
Keynote Luncheon Speaker:
Lawrence J. White, Arthur E. Imperatore Professor of Economics, Stern School of Business, New York University
Betsy and Walter Stern Conference Center
1015 15th Street, N.W., 6th Floor,
Washington, D.C. 20005