我国债务担保证券信用评级依赖研究

发布时间：2018-03-20 00:39

本文选题：债务担保证券　切入点：信用评级　出处：《华东师范大学》2015年硕士论文　论文类型：学位论文

【摘要】：美国投资者和监管机构对结构化金融产品的评级依赖很大程度上引发了次贷危机并加剧了金融动荡。当时我国终止了资产证券化的试点工作,重新审视其风险。然而今朝与往昔不同,大力发展资产证券化是金融市场发展的必然趋势。近期随着资产证券化备案制的落地和质押式协议回购的放开,其发行量和交易量必将快速大幅增长。在我国资产证券化市场快速扩容的背景下,其评级依赖将变得越来越广泛,风险隐患将逐渐集聚。因此,我国非常有必要对其加以重视,并根据我国的国情采取合适的节奏和恰当的措施逐步减少评级依赖。由于债务担保证券在我国资产证券化中占比最高且较为复杂,本文将重点研究债务担保证券的评级依赖问题。本文的研究内容遵循先介绍基本原理,再研究普遍理论,最后将普遍理论具体化的研究思路,将全文主要内容分为四个部分：第一部分概述了债务担保证券及其信用评级问题,说明了债务担保证券的复杂性、信用评级机构在其结构设计中所扮演的重要角色以及其信用评级的可靠性较低；第二部分研究了普遍意义上的信用评级依赖及减少依赖的国际经验和启示,认为我国应当根据国情选择合适的节奏和恰当的措施逐步减少评级依赖,力求减轻评级依赖的同时避免妨碍本土评级机构的发展；第三部分分析了我国债务担保证券及评级的特殊背景、债务担保证券信用评级及其依赖风险的特殊性,为最后针对我国具体情况提出对策建议作了铺垫；第四部分对我国债务担保证券信用评级依赖进行了实证研究,证实了评级依赖的存在,并在此前的研究基础上有针对性地提出了减少我国债务担保证券信用评级依赖的对策。本文的结论指出,长期来说,监管者应当逐步弱化监管规则对评级结果的引用并试点债务担保证券的双评级制度,投资者应针对债务担保证券这个类别单独建立和完善内部信用风险评估程序,发行人及评级机构应及时、准确、完整地披露债务担保证券产品的相关信息。同时,监管者和投资者都应积极开发和使用计量债务担保证券信用风险的其他标准,以市场化的方式选择和认可有效的评级结果,从而在减少评级依赖风险的同时促进评级行业的良性发展。
[Abstract]:The reliance of U.S. investors and regulators on structured financial products has largely triggered the subprime crisis and exacerbated financial turmoil. At the time, China ended the pilot work on asset securitization. However, unlike in the past, asset securitization is an inevitable trend in the development of the financial market. Recently, with the landing of the asset securitization record system and the release of the pledge agreement repurchase, Under the background of the rapid expansion of asset securitization market in China, its rating dependence will become more and more extensive, and the hidden risks will gradually gather. Therefore, it is very necessary to pay attention to it in our country. According to the situation of our country, we should take appropriate rhythm and appropriate measures to gradually reduce the reliance on rating. Because debt backed securities account for the highest proportion and more complex in China's asset securitization, This paper will focus on the issue of rating dependence of debt-backed securities. The research contents of this paper follow the idea of introducing the basic principles, then studying the general theory, and finally concretizing the general theory. This paper is divided into four parts: the first part gives an overview of the debt-backed securities and their credit rating issues, illustrates the complexity of the debt-backed securities, The important role played by credit rating agencies in their structural design and the low reliability of their credit rating. The author thinks that China should choose the appropriate rhythm and appropriate measures according to the national conditions to gradually reduce the rating dependence and try to reduce the rating dependence and avoid hindering the development of the local rating agencies. The third part analyzes the special background of China's debt guaranteed securities and its rating, the particularity of debt guaranteed securities credit rating and its dependence risk, and provides some countermeasures and suggestions for the specific situation of our country. In the 4th part, an empirical study on the credit rating dependence of China's debt-guaranteed securities is carried out, which confirms the existence of the credit rating dependency. On the basis of previous research, this paper puts forward some countermeasures to reduce the reliance on credit rating of debt-guaranteed securities in China. The conclusion of this paper is that, in the long run, Regulators should gradually weaken the application of regulatory rules to ratings results and pilot a dual rating system for debt-backed securities, and investors should establish and improve internal credit risk assessment procedures separately for this category of debt-backed securities. Issuers and rating agencies should provide timely, accurate and complete disclosure of relevant information on the products of debt-backed securities. At the same time, regulators and investors should actively develop and use other criteria for measuring the credit risk of debt-backed securities, In order to reduce the risk of rating dependence and promote the benign development of the rating industry, we can select and recognize the effective rating results in a market-oriented way.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51

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