不同市场结构下信用评级行业利益冲突研究

发布时间：2018-03-04 11:23

本文选题：信用评级　切入点：利益冲突　出处：《安徽大学》2013年硕士论文　论文类型：学位论文

【摘要】：自2007年次贷危机以来,信用评级机构备受公众关注。各界声音中,不仅有对信用评级机构发布的信用评级质量的质疑,也有对三大评级机构的“霸权主义”的斥责,更有对三大评级机构对危机的推波助澜的批判。尽管评级机构一再强调声誉激励机制对行业的自律作用以及信用评级机构的内部控制制度对利益冲突的规制作用。但是在“发行人付费”下,利益冲突从未停止过。1975年美国证券交易委员会对NRSRO的授权,不仅加深了监管者对信用评级的依赖,助长了信用评级机构对市场的影响力,更是对“发行人付费”模式下利益冲突的雪上加霜。危机后,尽管美国监管者频频发布对信用评级行业的监管规制文件及法规,但是这并没有改变信用评级行业的“发行人付费”模式,在未来很长一段时间内,这一模式仍将继续,本文是在这种模式下,将声誉机制与市场结构相结合,研究不同市场结构下声誉机制发挥的作用,并对信用评级行业的改革提出了一些建议。第一部分首先介绍了本文的研究背景、研究意义及目的、研究内容及方法、创新与不足。并结合本文的研究主题对国内外信用评级相关领域的文献作了简要归纳。主要分为以下三类：第一,声誉激励机制与利益冲突的文献；第二,市场结构与利益冲突的文献；第三：利益冲突与评级报告质量的文献。第二部分,信用评级行业现状分析。首先对信用评级行业的起源及发展做了简要介绍,然后从付费模式看信用评级行业的利益冲突来源,在“投资者付费”模式下,声誉激励机制对信用评级行业起到很好的行业自律,在“发行人付费”模式下,评级机构倾向于提高发行人的信用等级；接着阐述了美国的NRSRO制度与市场结构。在NRSRO制度下,监管者对评级机构的依赖加重了利益冲突,更使得声誉对信用评级机构的自律作用大大降低；再接着研究了“发行人付费”模式与NRSRO制度带来的利益冲突使得声誉激励机制对评级行业自律作用的失效,驳斥了信用评级机构一直引用声誉机制应对公众质疑的做法。最后总结了美国监管者对信用评级行业的监管的文件及法规。第三部分,垄断性市场结构下利益冲突研究。首先提出了模型的假设,在前人研究的基础上,对评级机构的利润函数进行了分析,指出评级机构的利润一方面由评级费用构成另一方面由声誉带来的未来现金流的收益。然后分别研究在有无评级机构情况下,发行人与投资者的利润函数；在研究了评级机构、发行人、投资者的利润函数的基础上,就开始对市场结构及声誉机制对评级报告质量进行研究。首先假设不存在评级购买时,即假设没有利益冲突评级机构在可以控制其评级精度时,研究“发行人付费”模式下,评级机构对坏企业与好企业的最优选择问题。然后放松利益冲突让模型更接近实际,研究评级机构在存在利益冲突下的利润最大化选择。第四部分,竞争性市场结构下利益冲突研究。首先指出竞争性市场结构与垄断性市场结构的不同之处在于评级机构可以自由选择信用评级机构使得自己的利润最大化。然后对发行人的利润函数做了分析,分别对存在评级购买以及不存在评级购买时,评级机构的利润最大化选择研究,并得出相关结论。接着以社会福利最大化为研究对象,对社会的福利函数做了定义。得出在以社会福利最大化的视角下,信用评级的评级费用应当为0,即信息的交易成本为0,市场能够对发行人的好于坏做出区别,此时市场效率达到最大化,这是一种理想的状态。然后结合第三章和第四章,对评级报告的质量进行比较,得出不同市场结构下市场效率的大小。第五部分,首先研究了声誉机制发挥不同作用时,监管者对市场结构选择。然后着重分析了中国当前市场结构及现状,并针对性的提出了我国信用评级行业应选择垄断性市场结构。第六部分,总结本文得出的结论并对监管者提出几点关于信用评级行业的改革建议。
[Abstract]:Since the 2007 subprime crisis, the credit rating agencies of public concern. The voice of all walks of life, not only questioned the release of the credit rating agencies credit rating quality, but also on the three major rating agencies "hegemonism" rebuke, more of the three major rating agencies to the crisis fueled criticism. Despite repeatedly stressed that the internal rating agencies the control system of rating agencies self-discipline reputation incentive mechanism of the industry and credit for conflict of interest rules made. But in the "issuer pays", the conflict of interest has never stopped in the United States Securities and Exchange Commission authorized the.1975 to NRSRO, not only deepened the regulators' reliance on credit ratings, credit rating agencies contributed to influence on the market, it is the one disaster after another issuer pays "conflict of interest mode. After the crisis, although the United States regulators frequently issued letter of The regulatory documents and regulations of the rating industry, but this does not change the credit rating industry "issuer pays", in the future for a long period of time, this pattern will continue, this article is in this mode, combining the reputation mechanism and market structure, the research of reputation mechanism in different market structures under the role, and puts forward some suggestions on the reform of the credit rating industry.
The first part introduces the research background, research purpose and significance, research contents and methods, innovation and shortcomings. Combined with the research topics of domestic and international credit rating related literature was briefly summarized. Mainly divided into the following three categories: first, the conflict with the interests of the reputation incentive mechanism of literature; second the market structure, and conflicts of interest in literature; third: the conflict of interests and the quality rating report literature.
The second part, analysis of the current situation of credit rating industry. Firstly, the origin and development of the credit rating industry is briefly introduced, and then look at the source of conflict of interest of credit rating industry from the payment mode, in the "investor pays" mode, the reputation incentive mechanism of the credit rating industry played a very good self-discipline, in the "issuer pays" mode, the rating agencies tend to improve the credit rating of the issuer; then elaborated the NRSRO system and the market structure of the United States. In the NRSRO system, regulators' reliance on rating agencies aggravated the conflict of interests, the more reputation the role of self-discipline of the credit rating agencies is greatly reduced; the conflict of interest and then study "the issuer pays model and NRSRO system makes the reputation incentive mechanism of industry self-discipline failure rating, credit rating agencies have refuted the reputation mechanism to deal with The public questioned the practice. Finally, it summed up the documents and regulations of US regulators on the supervision of the credit rating industry.
The third part, study on the conflict of interest under the monopoly market structure. Firstly put forward the assumptions of the model, on the basis of previous studies, the profit function of the rating agencies were analyzed, pointed out that the rating agencies on the one hand by the rating cost profit on the other hand by the reputation for bringing the future cash flow of income. Then we study in there is no rating agencies under the condition of issuing profit function of person and investors; on the basis of the rating agencies, the issuer, investor's profit function, started on the market structure and mechanism of reputation rating report research quality. Firstly, the assumption that there is no rating to buy, assuming that there is no conflict of interest in the rating agencies you can control the accuracy of rating, the issuer pay model, rating agencies optimal choice for bad enterprises and good corporate problems. Then relax the conflict of interests make the model more Close to the reality, study the rating agency's profit maximization choice under the existence of conflicts of interest.
The fourth part, study on the conflict of interest under competitive market structure. Firstly, points out the difference of monopolistic competition market structure and market structure that the rating agencies can choose credit rating agencies to maximize their profits. Then the profit function of the issuer to do the analysis of the existing rating respectively to buy and buy rating does not exist study on profit maximization, choice of rating agencies, and draw relevant conclusions. Then to maximize the social welfare as the research object, the social welfare function are defined. That in order to maximize the welfare of society from the perspective of credit rating, the rating cost should be 0, namely the transaction cost information is 0, the market can the issuer is good or bad to make a difference, the market efficiency is maximized, which is a kind of ideal state. Then combined with the third chapter and the fourth chapter, the quality of the credit rating report Compare the market efficiency under the different market structure.
The fifth part first studies the choice of the market structure when the reputation mechanism plays different roles. Then it focuses on the analysis of the current market structure and current situation in China, and points out that China's credit rating industry should choose the monopoly market structure.
The sixth part summarizes the conclusions of this article and puts forward some suggestions on the reform of the credit rating industry.

【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.4

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