Dennis Vink

Nyenrode Business University

Straatweg 25

P.O. Box 130

Breukelen, 3620 AC

Netherlands

http://www.dennisvink.nl

  • Nyenrode Business University

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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CROSSREF CITATIONS

4

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

  • Nyenrode Business University

Scholarly Papers (8)

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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 4,781 (3,879)

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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 Johns Hopkins University - Carey Business School
Downloads 1,594 (22,636)

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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 1,300 (30,707)
Citation 7

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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
Johns Hopkins University - Carey Business School, Nyenrode Business University and Nyenrode Business University
Downloads 93 (532,290)

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Credit ratings, regulation, mortgage-backed securities

5.

Intensified Competition and the Impact on Credit Ratings in the RMBS Market

ECB Working Paper No. 2022/2691
Number of pages: 53 Posted: 30 Jul 2022
Vivian M. van Breemen, Frank J. Fabozzi and Dennis Vink
European Central Bank (ECB), Johns Hopkins University - Carey Business School and Nyenrode Business University
Downloads 67 (642,951)

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competitive pressure, credit rating agencies, rating quality

6.

Risk Retention in the European Securitization Market: Skimmed by the Skin-in-The-Game Methods?

ECB Working Paper No. 2023/2837
Number of pages: 48 Posted: 03 Aug 2023
Vivian M. van Breemen, Claudia Schwarz and Dennis Vink
European Central Bank (ECB), European Central Bank (ECB) and Nyenrode Business University
Downloads 55 (707,016)

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credit ratings, primary issuance spread, risk retention rule

7.

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 Johns Hopkins University - Carey Business School

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

8.

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
Johns Hopkins University - Carey 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