, Volume 33, Issue 3, pp 241–261 | Cite as

Das Kreditrating von Verbrauchern und Unternehmen und die Subprime-Krise in den USA mit Lehren für Deutschland

  • Ákos Róna-Tas
  • Stefanie Hiss


Bei der Subprime-Hypothekenkrise in den USA spielten sowohl Kreditauskunfteien und deren Kredit-Scores als auch Ratingagenturen eine wichtige Rolle. Zum einen war der Kredit-Score als wichtigster und oft auch einziger Maßstab für die Kreditwürdigkeit von Verbrauchern nicht geeignet, Kreditausfallrisiken zuverlässig zu prognostizieren. Wir identifizieren vier Problemfelder, die für die Schwächung des FICO®-Score und den damit verbundenen Qualitätsverlust bei der Risikoeinschätzung von Verbraucherkrediten verantwortlich sind: Reaktivität bzw. ,,gaming the system“, das Problem nicht berücksichtigter Variablen, korrelierte Kreditausfälle und Endogenität. Zum anderen sahen sich Ratingagenturen, die die verbrieften Hypothekenkreditpools unter Verwendung weniger formalisierter Verfahren bewerteten, mit Problemen der Datenqualität aufgrund schlechter Kredit-Scores konfrontiert. Ihre Prognosefähigkeit war zusätzlich durch korrelierte Kreditausfälle und Interessenkonflikte beeinträchtigt. Abschließend ziehen wir einen kurzen Vergleich zwischen der Situation in Deutschland und in den USA.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. 1.
    Agarwal S, Calvin TH (2007) Comparing the Prime and Subprime Mortgage Markets. Chicago Fed Letters, No. 241, The Federal Reserve of Chicago. (letzter Aufruf 19.06.2009)Google Scholar
  2. 2.
    Ashcraft AB, Schuermann T (2008) Understanding the Securitization of Subprime Mortgage Credit. Federal Reserve Bank of New York, Staff Report no. 318Google Scholar
  3. 3.
    Avery RB, Calem PS, Canner GB (2004) Credit Report Accuracy and Access to Credit. Federal Reserve Bulletin. The Federal Reserve Board, Washington, D.C., pp 297–322Google Scholar
  4. 4.
    Avery RB, Bostic RW, Calem PS, Canner GB (2000) Credit Scoring: Statistical Issues and Evidence from Credit-Bureau Files. Real Estate Econ 28(3):523–547CrossRefGoogle Scholar
  5. 5.
    Balaguy H (1996) Le crédit à la consommation en France. Que sais-je, PUF, ParisGoogle Scholar
  6. 6.
    Buck RC (1964) Reflexive predictions. Philos Sci 30(4):359–369CrossRefMathSciNetGoogle Scholar
  7. 7.
    Calem PS, LaCour-Little M (2001) Risk-based Capital Requirements for Mortgage Loans. Working Paper 2001–60. The Federal Reserve Board, Financial and Economics Discussion SeriesGoogle Scholar
  8. 8.
    Cassady A, Mierzwinski E (2004) Mistakes Do Happen: A Look at Errors in Consumer Credit Reports. National Association of State PIRGs, Washington, D.C.Google Scholar
  9. 9.
    Census Bureau (2006) Housing Vacancies and Home Ownership. (letzter Aufruf 19.06.2009)Google Scholar
  10. 10.
    Chomsisengphet S, Pennington-Cross A (2006) The evolution of the subprime mortgage market. Fed Reserv Bank St. Louis Rev 88(1):31–56Google Scholar
  11. 11.
    Cowan AM, Cowan CD (2004) Default correlation: an empirical investigation of a subprime lender. J Bank Finance 28:753–771MathSciNetGoogle Scholar
  12. 12.
    Decker M (2007) Statement of Michael Decker, Senior Managing Director, Research and Public Policy, Before the Committee on Finance United States Senate, Hearing on the Housing Decline: The Extent of the Problem and Potential RemediesGoogle Scholar
  13. 13.
    Demyanyk Y, Van Hemert O (2008) Understanding the Subprime Mortgage Crisis. (letzter Aufruf 19.06.2009)Google Scholar
  14. 14.
    Deutsche Bank Research (2007) ,,Notleidende Kredite“ – eine etablierte Assetklasse: Der Handel mit Kreditportfolios in Deutschland. Aktuelle Themen 381Google Scholar
  15. 15.
    ECB – European Central Bank (2008) Securitisation in the Euro Area. Monthly Bulletin, FebruarGoogle Scholar
  16. 16.
    Espeland WN, Sauder M (2007) Rankings and reactivity: How public measures recreate social worlds. Am J Sociol 113(1):1–40CrossRefGoogle Scholar
  17. 17.
    Federal Register (2008) Federal Reserve System. 12 CFR, Part 226. Truth in Lending. Proposed Rules 73(6). (letzter Aufruf 19.06.2009)Google Scholar
  18. 18.
    Fight A (2001) The Ratings Game. John Wiley’s and Sons, ChichesterGoogle Scholar
  19. 19.
    Fitch (2007) Subprime Collateral Trends and Early Payment Defaults. U.S. Residential Mortgage Special Report. (letzter Aufruf 27. April 2007)Google Scholar
  20. 20.
    Foster C (2007) Credit Scoring: Scoring for Success in a Turbulent Mortgage Market.,frameless.htm (letzter Aufruf 30.08.2008)Google Scholar
  21. 21.
    Foust D, Pressman A (2008) Credit Scores: Not-So-Magic Numbers. Business Week, 7. Februar 2008. (letzter Aufruf 19.06.2009)Google Scholar
  22. 22.
    GAO (United States Government Accountability Office) (2005) Credit Reporting Literacy: Consumers Understood the Basics but Could Benefit from Targeted Educational Efforts. Report to the Congressional Committees. Government Accounting Office, Washington, D.C.Google Scholar
  23. 23.
    Guardia ND (2002) Consumer Credit in the European Union. ECRI Research Report No. 1, BrüsselGoogle Scholar
  24. 24.
    Hess A, Holzhausen A (2008) The structure of European mortgage markets. Allianz Dresdner Economic Research Working Paper No. 97. Frankfurt am MainGoogle Scholar
  25. 25.
    Jentzsch N, San José Riestra A (2003) Information Sharing and Its Implications for Consumer Credit Markets: United States vs. Europe. Working Paper.∼jentzsch/eu-vs-us.pdf (letzter Aufruf 19.06.2009)Google Scholar
  26. 26.
    Keys BJ, Mukherjee T, Seru A, Vig V (2008). Did Securitization Lead to Lax Screening? Evidence From Subprime Loans. Working Paper. (letzter Aufruf 19.06.2009)Google Scholar
  27. 27.
    Löffler G (2003) The effects of estimation error on measures of portfolio credit risk. J Bank Finance 27:1427–1453CrossRefGoogle Scholar
  28. 28.
    Maiello M (2007) Where was FICO? Forbes (letzter Aufruf 19.06.2009)Google Scholar
  29. 29.
    Mian A, Sufi A (2008) The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis. Manuscript, University of Chicago Business School. (letzter Aufruf 19.06.2009)Google Scholar
  30. 30.
    Moody’s (2007) 2006 Review and 2007 Outlook: Home Equity ABS (Asset Backed Securities). (letzter Aufruf 22. Januar 2007)Google Scholar
  31. 31.
    Morrissey J (2008) What’s Behind Those Offers to Raise Credit Scores. New York Times, 19. Januar 2008. (letzter Aufruf 19.06.2009)Google Scholar
  32. 32.
    Peterson CL (2008) Over-Indebtedness, Predatory Lending, and the International Political Economy of Residential Home Mortgage Securitization: Comparing the U.S. Subprime Home Mortgage Lending Crisis to Home Finance in the United Kingdom, Germany, and Japan, Working Paper. (letzter Aufruf 19.06.2009)Google Scholar
  33. 33.
    Romey C, Drut B (2008) Analysis of Subprime RMBS Ratings in the USA. Risk and Trend Mapping – no. 4. Autorité des marches financiers, ParisGoogle Scholar
  34. 34.
    SEC – U.S. Securities and Exchange Commission (2008) Summary Report of Issues Identified in the Commission Staff’s Examinations of Select Credit Rating Agencies By the Staff of the Securities and Exchange Commission. (letzter Aufruf 8. Juli 2008)Google Scholar
  35. 35.
    SEC – U.S. Securities and Exchange Commission (2008) Annual Report on Nationally Recognized Statistical Rating Organizations: As Required by Section 6 of the Credit Rating Agency Reform Act of 2006. U.S. Securities and Exchange Commission. (letzter Aufruf 19.06.2009)Google Scholar
  36. 36.
    Shiller RJ (2008) The Subprime Solution: How Today’s Global Financial Crises Happened, and What to Do about It. Princeton University Press, Princeton OxfordGoogle Scholar
  37. 37.
    Shiller RJ (2006) Irrational Exuberance, 2nd edn. Princeton University Press, Princeton OxfordGoogle Scholar
  38. 38.
    Standard and Poor’s (2006) Corporate Rating Criteria. (letzter Aufruf 19.06.2009)Google Scholar
  39. 39.
    Straka JW (2000) A shift in the mortgage landscape: the 1990s move to automated credit evaluations. J Hous Res 11(2):207–232MathSciNetGoogle Scholar
  40. 40.
    Sullivan TA, Warren E, Westbrook JL (2000) The Fragile Middle Class: Americans in Debt. Yale University Press, New HavenGoogle Scholar

Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  1. 1.University of CaliforniaSan DiegoUSA
  2. 2.Lehrstuhl Soziologie IIUniversität BambergBambergDeutschland

Personalised recommendations