信用评级机构虚高评级行为研究

发布时间：2018-03-30 10:48

本文选题：信用评级机构　切入点：虚高评级　出处：《天津财经大学》2013年硕士论文

【摘要】：如果说2008年的金融危机尚未使人们立刻意识到信用评级机构在其中扮演的角色,以及信用评机构虚高评级的问题,但经历了此后的欧债危机,人们开始将视线转移到隐藏在背后的信用评级机构。作为金融市场的重要参与者,信用评级机构(Credit Rating Agencies,简称CRAs)的基本职能就是对债券发行方的违约风险作出专业性的判断,它们提供的评级结论是投资者判断风险的重要甚至唯一依据。而对金融危机,次贷危机、欧债危机的超前预测和预警几乎没有,更谈不上预防和避免危机的发生,也许正是它们以“炼金术”般的方式做出虚高评级,助推了危机的爆发,招致CRAs在欧债危机中备受指责。信用评级机构(CRAs)为什么要虚高评级以及虚高评级的内在动因是什么,从评级市场诸多影响因素中选取了三种主要利益冲突：1)评级机构为吸引更多业务而虚高评级。2)发行人通常购买对自己最有利的评级；3)投资者则希望以公允价值购买评级。在三种利益冲突的基础上来构建评级机构、发行人、投资人之间的信号传递博弈模型,经过对信号传递博弈模型的求解,得到三方行为的均衡结果,由此经进一步的分析得：1)由于CRAs之间的竞争可能导致发行人进行评级选购,即企业寻求一个评级范围,并仅为最高评级支付费用,CRAs为了自身利益的最大化,不得不虚高评级,以维护自己的客户资源,在这种情况下,竞争使市场效率大大降低。2)在经济繁荣时期,由于天真的投资人较多且债券违约概率较小,声誉成本损失的可能性小,CRAs更倾向夸大评级。3)结构化金融产品一定程度上降低了市场效率。针对评级过程中CRAs虚高评级所带来的市场效率损失与投资风险,借鉴国际评级监管的经验教训与改革举措,同时结合我国评级市场的发展现状及存在的问题,提出了我国评级市场发展的路径选择及相关政策建议。
[Abstract]:If the 2008 financial crisis did not immediately make people aware of the role played by credit rating agencies and the problem of credit rating agencies' false ratings, but after the European debt crisis,People began to shift their attention to the credit rating agencies hidden behind them.As an important participant in the financial market, credit rating agency Credit Rating Agencies (CRAs) has the basic function of making a professional judgment on the default risk of bond issuers.The ratings they provide are an important or even the only basis for investors to judge risk.And for the financial crisis, the subprime crisis, the European debt crisis, there is almost no advance prediction and early warning, let alone preventing and avoiding the occurrence of the crisis. Perhaps it is they who have made false high ratings in the form of "alchemy", which contributed to the outbreak of the crisis.Led to CRAs in the European debt crisis has been criticized.Why the credit rating agency CRAsand what is the intrinsic motivation of the false high rating,Three major conflicts of interest were selected from the rating market: 1) rating agencies with a high rating of .2to attract more business) issuers usually buy the ratings that are best for them) investors want to buy ratings at fair value.On the basis of three kinds of conflicts of interest, the signal transfer game model among rating agencies, issuers and investors is constructed. After solving the signal transfer game model, the equilibrium results of tripartite behavior are obtained.After further analysis, it is concluded that because competition between CRAs may lead issuers to choose and purchase ratings, that is, enterprises seek a rating range, and only pay for the highest ratings, they have to have false ratings in order to maximize their own interests.In order to maintain their customer resources, in which case competition makes the market much less efficient.) in good times, because naive investors are more likely to default and bonds are less likely to default,The likelihood of loss of reputation cost is less likely that CRAs tend to exaggerate ratings. 3) structured financial products reduce market efficiency to some extent.In view of the market efficiency loss and investment risk caused by the CRAs false high rating in the process of rating, this paper draws lessons from the experience and the reform measures of international rating supervision, and at the same time combines with the present situation and existing problems of our country's rating market.This paper puts forward the path choice and relevant policy suggestions for the development of China's rating market.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.5;F832.4

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