本文選題：信用評級機(jī)構(gòu)　切入點(diǎn)：虛高評級　出處：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：如果說2008年的金融危機(jī)尚未使人們立刻意識到信用評級機(jī)構(gòu)在其中扮演的角色,以及信用評機(jī)構(gòu)虛高評級的問題,但經(jīng)歷了此后的歐債危機(jī),人們開始將視線轉(zhuǎn)移到隱藏在背后的信用評級機(jī)構(gòu)。作為金融市場的重要參與者,信用評級機(jī)構(gòu)(Credit Rating Agencies,簡稱CRAs)的基本職能就是對債券發(fā)行方的違約風(fēng)險(xiǎn)作出專業(yè)性的判斷,它們提供的評級結(jié)論是投資者判斷風(fēng)險(xiǎn)的重要甚至唯一依據(jù)。而對金融危機(jī),次貸危機(jī)、歐債危機(jī)的超前預(yù)測和預(yù)警幾乎沒有,更談不上預(yù)防和避免危機(jī)的發(fā)生,也許正是它們以“煉金術(shù)”般的方式做出虛高評級,助推了危機(jī)的爆發(fā),招致CRAs在歐債危機(jī)中備受指責(zé)。 信用評級機(jī)構(gòu)(CRAs)為什么要虛高評級以及虛高評級的內(nèi)在動(dòng)因是什么,從評級市場諸多影響因素中選取了三種主要利益沖突：1)評級機(jī)構(gòu)為吸引更多業(yè)務(wù)而虛高評級。2)發(fā)行人通常購買對自己最有利的評級；3)投資者則希望以公允價(jià)值購買評級。在三種利益沖突的基礎(chǔ)上來構(gòu)建評級機(jī)構(gòu)、發(fā)行人、投資人之間的信號傳遞博弈模型,經(jīng)過對信號傳遞博弈模型的求解,得到三方行為的均衡結(jié)果,由此經(jīng)進(jìn)一步的分析得：1)由于CRAs之間的競爭可能導(dǎo)致發(fā)行人進(jìn)行評級選購,即企業(yè)尋求一個(gè)評級范圍,并僅為最高評級支付費(fèi)用,CRAs為了自身利益的最大化,不得不虛高評級,以維護(hù)自己的客戶資源,在這種情況下,競爭使市場效率大大降低。2)在經(jīng)濟(jì)繁榮時(shí)期,由于天真的投資人較多且債券違約概率較小,聲譽(yù)成本損失的可能性小,CRAs更傾向夸大評級。3)結(jié)構(gòu)化金融產(chǎn)品一定程度上降低了市場效率。針對評級過程中CRAs虛高評級所帶來的市場效率損失與投資風(fēng)險(xiǎn),借鑒國際評級監(jiān)管的經(jīng)驗(yàn)教訓(xùn)與改革舉措,同時(shí)結(jié)合我國評級市場的發(fā)展現(xiàn)狀及存在的問題,提出了我國評級市場發(fā)展的路徑選擇及相關(guān)政策建議。
[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.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.5;F832.4

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