NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Alchemy of CDO Credit Ratings

Efraim Benmelech, Jennifer Dlugosz

NBER Working Paper No. 14878
Issued in April 2009

---- Acknowledgements -----

This paper has being prepared for the Carnegie-Rochester conference series. We are grateful for comments from Adam Ashcraft, Amit Seru, Andrei Shleifer, Jeremy Stein, The Editors (Marvin Goodfriend and Bennett McCallum), and seminar participants at the Carnegie-Rochester November 2008 conference, Harvard University and the Stockholm Institute for Financial Research. We thank Shaunak Vankudre, Alex Radu, Daniel Oshima, and Akilah Crichlow for excellent research assistance. All remaining errors are our own. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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