本文選題：債務(wù)擔(dān)保證券　切入點(diǎn)：信用評(píng)級(jí)　出處：《華東師范大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

【摘要】：美國投資者和監(jiān)管機(jī)構(gòu)對(duì)結(jié)構(gòu)化金融產(chǎn)品的評(píng)級(jí)依賴很大程度上引發(fā)了次貸危機(jī)并加劇了金融動(dòng)蕩。當(dāng)時(shí)我國終止了資產(chǎn)證券化的試點(diǎn)工作,重新審視其風(fēng)險(xiǎn)。然而今朝與往昔不同,大力發(fā)展資產(chǎn)證券化是金融市場(chǎng)發(fā)展的必然趨勢(shì)。近期隨著資產(chǎn)證券化備案制的落地和質(zhì)押式協(xié)議回購的放開,其發(fā)行量和交易量必將快速大幅增長(zhǎng)。在我國資產(chǎn)證券化市場(chǎng)快速擴(kuò)容的背景下,其評(píng)級(jí)依賴將變得越來越廣泛,風(fēng)險(xiǎn)隱患將逐漸集聚。因此,我國非常有必要對(duì)其加以重視,并根據(jù)我國的國情采取合適的節(jié)奏和恰當(dāng)?shù)拇胧┲鸩綔p少評(píng)級(jí)依賴。由于債務(wù)擔(dān)保證券在我國資產(chǎn)證券化中占比最高且較為復(fù)雜,本文將重點(diǎn)研究債務(wù)擔(dān)保證券的評(píng)級(jí)依賴問題。本文的研究?jī)?nèi)容遵循先介紹基本原理,再研究普遍理論,最后將普遍理論具體化的研究思路,將全文主要內(nèi)容分為四個(gè)部分：第一部分概述了債務(wù)擔(dān)保證券及其信用評(píng)級(jí)問題,說明了債務(wù)擔(dān)保證券的復(fù)雜性、信用評(píng)級(jí)機(jī)構(gòu)在其結(jié)構(gòu)設(shè)計(jì)中所扮演的重要角色以及其信用評(píng)級(jí)的可靠性較低；第二部分研究了普遍意義上的信用評(píng)級(jí)依賴及減少依賴的國際經(jīng)驗(yàn)和啟示,認(rèn)為我國應(yīng)當(dāng)根據(jù)國情選擇合適的節(jié)奏和恰當(dāng)?shù)拇胧┲鸩綔p少評(píng)級(jí)依賴,力求減輕評(píng)級(jí)依賴的同時(shí)避免妨礙本土評(píng)級(jí)機(jī)構(gòu)的發(fā)展；第三部分分析了我國債務(wù)擔(dān)保證券及評(píng)級(jí)的特殊背景、債務(wù)擔(dān)保證券信用評(píng)級(jí)及其依賴風(fēng)險(xiǎn)的特殊性,為最后針對(duì)我國具體情況提出對(duì)策建議作了鋪墊；第四部分對(duì)我國債務(wù)擔(dān)保證券信用評(píng)級(jí)依賴進(jìn)行了實(shí)證研究,證實(shí)了評(píng)級(jí)依賴的存在,并在此前的研究基礎(chǔ)上有針對(duì)性地提出了減少我國債務(wù)擔(dān)保證券信用評(píng)級(jí)依賴的對(duì)策。本文的結(jié)論指出,長(zhǎng)期來說,監(jiān)管者應(yīng)當(dāng)逐步弱化監(jiān)管規(guī)則對(duì)評(píng)級(jí)結(jié)果的引用并試點(diǎn)債務(wù)擔(dān)保證券的雙評(píng)級(jí)制度,投資者應(yīng)針對(duì)債務(wù)擔(dān)保證券這個(gè)類別單獨(dú)建立和完善內(nèi)部信用風(fēng)險(xiǎn)評(píng)估程序,發(fā)行人及評(píng)級(jí)機(jī)構(gòu)應(yīng)及時(shí)、準(zhǔn)確、完整地披露債務(wù)擔(dān)保證券產(chǎn)品的相關(guān)信息。同時(shí),監(jiān)管者和投資者都應(yīng)積極開發(fā)和使用計(jì)量債務(wù)擔(dān)保證券信用風(fēng)險(xiǎn)的其他標(biāo)準(zhǔn),以市場(chǎng)化的方式選擇和認(rèn)可有效的評(píng)級(jí)結(jié)果,從而在減少評(píng)級(jí)依賴風(fēng)險(xiǎn)的同時(shí)促進(jìn)評(píng)級(jí)行業(yè)的良性發(fā)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.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.51

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