Dennis Vink

Nyenrode Business University

Straatweg 25

P.O. Box 130

Breukelen, 3620 AC

Netherlands

http://www.dennisvink.nl

SCHOLARLY PAPERS

8

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6,955

CITATIONS
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SSRN RANKINGS

Top 33,402

in Total Papers Citations

11

Ideas:
“  I'm currently working on research on CLOs that investigates why issuers choose multiple credit ratings at issue...  ”

Scholarly Papers (8)

1.

ABS, MBS and CDO Compared: An Empirical Analysis

The Journal of Structured Finance, Vol. 14, 2008, pp. 27-45
Number of pages: 39 Posted: 27 Sep 2007 Last Revised: 04 Oct 2012
Dennis Vink and André E. Thibeault
Nyenrode Business University and Vlerick Business School
Downloads 4,413 (1,837)
Citation 2

Abstract:

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asset securitization, asset-backed securitisation, bank lending, default risk, risk management, spreads, leveraged financing

2.

Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings

Yale ICF Working Paper No. 09-13
Number of pages: 36 Posted: 12 Jul 2009 Last Revised: 04 Oct 2012
Dennis Vink and Frank J. Fabozzi
Nyenrode Business University and EDHEC Business School
Downloads 1,420 (12,461)
Citation 1

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asset-backed securities (ABS), credit ratings, collateral, default risk, securitization, securitisation

3.

An Empirical Analysis of Asset-Backed Securitization

21st Australasian Finance & Banking Conference 2008 Paper
Number of pages: 60 Posted: 14 Sep 2007 Last Revised: 22 Mar 2010
Dennis Vink and André E. Thibeault
Nyenrode Business University and Vlerick Business School
Downloads 1,085 (18,894)
Citation 4

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asset securitization, asset-backed securitisation, bank lending, default risk, risk management, leveraged financing

4.

Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities

Number of pages: 18 Posted: 24 May 2015
Frank J. Fabozzi, Mike Nawas and Dennis Vink
EDHEC Business School, Nyenrode Business University and Nyenrode Business University
Downloads 35 (439,199)

Abstract:

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Credit ratings, regulation, mortgage-backed securities

5.

Looking Beyond Credit Ratings: Factors Investors Consider in Pricing European Asset‐Backed Securities

European Financial Management, Vol. 18, Issue 4, pp. 515-542, 2012
Number of pages: 28 Posted: 23 Aug 2012
Frank J. Fabozzi and Dennis Vink
EDHEC Business School and Nyenrode Business University
Downloads 2 (630,635)
Citation 8
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asset‐backed securities (ABS), credit ratings, collateral, default risk, securitisation, over‐reliance

6.

The Information Content of Three Credit Ratings: The Case of European Residential Mortgage-Backed Securities

The European Journal of Finance, Vol. 21, Issue 3, pp. 172-194, 2015.
Posted: 17 Jul 2014 Last Revised: 23 May 2015
Dennis Vink and Frank J. Fabozzi
Nyenrode Business University and EDHEC Business School

Abstract:

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residential mortgage-backed securities, credit rating; credit rating agency

7.

Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings

The Journal of Fixed Income, Vol. 21, 2012, pp. 7-14
Posted: 05 Oct 2012 Last Revised: 08 Oct 2012
Frank J. Fabozzi and Dennis Vink
EDHEC Business School and Nyenrode Business University

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Residential mortgage-backed securities, Conforming mortgage-backed securities, Nonconforming mortgage-backed securities, Credit ratings, Securitization, Subprime mortgage crisis, Over-reliance hypothesis

8.

Security Design and Credit Rating Risk in the Clo Market

De Nederlandsche Bank Working Paper No. 643
Number of pages: 52
Dennis Vink, Mike Nawas and Vivian van Breemen
Nyenrode Business University, Nyenrode Business University and affiliation not provided to SSRN
Downloads 0

Abstract:

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collateralized loan obligations, credit ratings, security design complexity, rating shopping, rating catering