外部信用评级机构的评级客观性研究

发布时间：2018-04-14 21:06

本文选题：外部信用评级机构 + 客观性　；参考：《复旦大学》2013年硕士论文

【摘要】：本文旨在通过梳理外部信用评级机构发展的历史逻辑、构建外部信用评级机构评级客观性的理论分析框架、检验外部信用评级机构评级的客观性、以及探讨外部信用评级机构评级客观性的制度安排,以综合评价外部信用评级机构的客观性,并提出相应的政策建议。在梳理历史逻辑方面,本文对比了政府干预外部信用评级行业前后评级机构的评级表现。在构建理论框架方面,本文一方面根据金融中介理论证明外部信用评级机构存在的必要性；另一方面通过建立外部信用评级机构评级结果选择路径模型,找出影响外部信用评级机构评级客观性的三点因素,即评级业务的收入、信用债的违约概率、以及声誉对评级机构的影响力。在实证检验部分,本文通过将穆迪信用评级模型对当前中国信用债市场存续期内信用债评级与中国国内外部信用评级机构给出的评级结果进行对比,发现中国国内评级机构评级普遍偏高,其中国内外部信用评级机构对国有企业与民企的评级标准可能存在差异；此外,从市场着眼的KMV模型对案例的测算结果验证了从企业财务状况着眼的穆迪信用评级模型。在探讨制度安排方面,本文分析了影响外部信用评级机构评级客观性的四点制度安排。
[Abstract]:By combing the historical logic of the development of external credit rating agencies, this paper aims to construct a theoretical analysis framework for the objectivity of external credit rating agencies, and to test the objectivity of external credit rating agencies.This paper also discusses the institutional arrangement of the objectivity of external credit rating agencies in order to comprehensively evaluate the objectivity of external credit rating agencies and put forward corresponding policy recommendations.In the aspect of historical logic, this paper compares the performance of rating agencies before and after government intervention in external credit rating industry.In the aspect of constructing theoretical framework, on the one hand, according to the theory of financial intermediation, this paper proves the necessity of the existence of external credit rating agencies; on the other hand, by establishing the path model of external credit rating agencies' rating results,Identify three factors that affect the objectivity of external credit rating agencies, namely, the revenue from rating businesses, the probability of default on credit debt, and the impact of reputation on rating agencies.In the part of empirical test, this paper compares the credit rating of China's credit market with that of domestic and external credit rating agencies through Moody's credit rating model.It is found that the ratings of domestic rating agencies in China are generally on the high side, in which there may be differences between the rating standards of state-owned enterprises and private enterprises by domestic and external credit rating agencies; in addition,The results from the market-oriented KMV model verify the Moody's credit rating model which is based on the financial situation of the enterprise.In the aspect of institutional arrangement, this paper analyzes four institutional arrangements that affect the objectivity of external credit rating agencies.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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