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1.
中美监管机构对商业银行风险评级的比较研究   总被引:2,自引:0,他引:2  
2004年2月,中国银监会颁布了《股份制商业银行风险评级体系(暂行)》,要求逐步开展对商业银行风险状况的评级。由于这一体系是在美国骆驼群评级法的基础上建立起来的,因此,本文集中研究了中美两国监管机构的这两个评级体系。本文在评价指标、评级分类方式、评级结果的运用政策等方面对中国银监会的《体系》与骆驼群评级法进行了比较研究,希望其不但能对中国银监会的评级体系有一个系统的透视,而且能为该体系的进一步改进提供一些参考。  相似文献   

2.
《财政研究资料》2004,(6):24-24,F003
在经过了标准普尔、穆迪给中资银行的评级后.银监会也将给国内股份制商业银行排出座次。近日,中国银监会公布了《股份制商业银行风险评级体系(暂行)》,其中银行综合评级分为良好、一般、关注、欠佳和差五大等级.预综合评级将分为良好、一般、关注、欠佳和差五大等级.各家商业银行很快就能“对号入座”。  相似文献   

3.
近日,中国银监会推出了《股份制商业银行风险评级体系(暂行)》(以下简称《评级体系》),为进一步加强银行业的监管提供了新的手段。作为银行监管框架的重要组成部分,《评级体系》以防范风险为目的,通过对股份制  相似文献   

4.
关雪凌 《中国金融》2005,(13):43-45
随着中国银行业改革的深化以及市场竞争的加剧,商业银行评级越来越成为一件引人注目的事情。先是国际知名专业评级机构标准普尔公司在2003年底发布了对国内12家商业银行机构的评级结果,这次评级结果以其“保守”色彩引发了一时的轰动。随后,中国银监会于2004年上半年发布了《股份制商业银行风险评级体系(暂行)》,并高调地将该评级体系进行了全文披露。近期,国内一些媒体及研究机构也纷纷发表了各种版本的商业银行排行榜等。  相似文献   

5.
新巴塞尔协议及国外商业银行内部评极体系研究   总被引:4,自引:0,他引:4  
内部评级法是《新巴塞尔资本协议》的核心内容。内部评极法涉及了银行风险管理理的各个方面,内容丰富,且技术复杂。本文的第一部分简要地对《新协议》及内部评级法体系进行了综述,包括内部评级法的整体框架、风险要素与风险要素的测算以及应用内部评级法的最低条件等,这一部分也是本文的重点;由于内部评级法是在技术先进的西方商业银行现行风险管理实践的基础上提出来的,为此,第二部分对美洲银行、花旗银行、瑞士联合银行的内部评级体制进行了对比分析;第三部分就如何构建工商银行的内部评级体系提出了初步的设想,包括重整风险管理流程,制定整体实施方案,开发风险计量模型和风险管理系统等。  相似文献   

6.
钱皓 《上海金融》2008,(2):48-52
2004年,巴塞尔银行监管委员会出台了《统一资本计量和资本标准的国际协议:修订框架》(简称《巴塞尔新资本协议)》,确定了基于内部评级法的信用风险度量和资本金计算框架,使得内部评级体系作为银行经营管理的主线显得更加明确。在这一国际大背景下,我国大中型银行逐步借鉴国际银行业风险管理实践,加强了信用风险管理,初步建立了内部评级体系,积极准备实施《巴塞尔新资本协议》内部评级法。本文在把握我国银行内部评级体系建设实践的基础上,重点分析了部分银行内部评级体系在违约定义、评级结构、评级方法、评级流程等方面的特点,揭示了其与《巴塞尔新资本协议》内部评级法之间的差距。  相似文献   

7.
巴塞尔委员会认为,内部评级法很大程度上依赖于银行内部对交易对象和风险的评估,因而有利于实施整个《新巴塞尔资本协议》的两个关键目标。一是更高的风险敏感性,使资本要求更精确,与银行内在的信用风险更匹配。实践证明,基内部评级的资本要求对信用风险的产生因素和银行资产的经济损失具有更高的敏感度,这一目标与当今许多拥有完善风险管理系统的银行对信用风险和资本充足率的内部评估框架相一致。二是激励机制,一个设计恰当的内部评级法能鼓励银行不断提高内部风险管理水平。  相似文献   

8.
近期,中国银监会继续加大对信托业的监管力度,提出借鉴国际通行的银行信用评价体系——CAMELS(骆驼评级体系),对信托企业进行信用评级并分类管理。该体系的运用将会对信托业未来的健康发展产生深远影响。本文对CAMELS在信托行业的应用进行初步探讨,尝试摸索一套符合信托行业特点的指标体系。  相似文献   

9.
吕彦 《济南金融》2006,(12):67-69
为适应新的混业监管体制架构,2001年英国金融服务局研究开发了ARROW风险评估体系,ARROW产生于巴塞尔《新资本协议》草案颁布和国际金融监管理论实践纵深发展的背景下,代表了欧洲银行业监管的最新成果。本文重点介绍了ARROW风险评级基本框架和主要特点,从评级范围、内容、方法等方面,对ARROW和CAMELS这两种分别代表欧洲和美国监管特色的评级模式进行了对比分析。在此基础上,就我国银行业风险评估体系的建立和完善,提出了几点可以借鉴和吸取的经验。  相似文献   

10.
谈伟宪  董红蕾 《上海金融》2004,(5):33-34,29
巴塞尔委员会《新资本协议》所推出的内部评级法.提供了一套以银行内部风险评级为基础的资本充足率计算及资本监管的动态监管方法,本文探讨了实施内部评级法对中国银行业提高风险管理能力、改进资本监管要求的激励效应,提出了金融开放下中国银行业加快引入并实施内部评级法的重要性。  相似文献   

11.
美国评级业监管发展动向及述评   总被引:1,自引:0,他引:1  
在过去近百年的时间里,美国的资信评级业扩张明显,在资本市场的作用日益重要,评级业的监管也日益完善。本文回顾了美国评级业的监管历史,对2006年新发布的资信评级机构改革法案进行了介绍,并总结和评论了美国证监会2007年发布的“注册为全国认可统计评级组织的评级机构监管”规则提案征求意见稿的相关内容,以期为我国的评级业发展提供借鉴。  相似文献   

12.
This article aims to investigate the factors that most influence the yields of public sector and corporate green bonds besides those conveyed by the conventional finance theory (e.g., rating, volatility, maturity). To accomplish that, we first develop a theoretical framework that postulates the negative relationship between the size of the underlying project financed by a green bond issuance, the use of the ESG metrics to quantify such impact, as well as the positive relationship between the risk of greenwashing practices by the issuer, and the yield to maturity of the green bond. We then provide an empirical validation of our conceptual framework by estimating multiple regression models applied to two distinct samples of public and corporate green bonds issued globally in the 2012–2020 period. The reliability of our results is confirmed by further exploring the effects of some key determinants on the yield spread of green versus comparable ordinary bonds of corporate issuers. Our findings corroborate our theoretical predictions showing that investors are inclined to accept lower returns in exchange for contributing to the funding of infrastructure projects with greater impact on the sustainability of target communities or territories and require higher premia as a form of compensation when being exposed to higher risk of greenwashing by issuers. At corporate level, greenwashing risk is higher among manufacturing (rather than services) firms but more pronounced in the financial sector. At public level, greenwashing strategies may be more easily pursued by multinational or sovereign issuers rather than local governments as the former's greater distance from communities enables them to elude investors' controls. Important recommendations are drawn for investors, rating agencies, and policymakers.  相似文献   

13.
We assess the information content of three credit ratings for tranches of newly issued European residential mortgage-backed securities. We find that tranches rated by three credit rating agencies where the rating by Standard & Poor's (S&P's) Ratings Service or Fitch is inferior to Moody's lead to higher funding costs and reflects what we refer to as rating risk. Our results suggest that market participants do not view credit ratings by Fitch and S&P's as redundant despite the fact that both employ the same rating approach.  相似文献   

14.
信用评级是解决金融市场信息不对称问题的重要途径之一,其在资本市场特别是债券市场运行中起着风险揭示、市场定价、防范信用风险等重要作用。长期以来,国际信用评级领域形成了以美国三大评级机构为主体的寡头垄断格局。本次国际金融危机和欧洲主权债务危机的爆发,凸显出现行国际信用评级体系存在的种种弊端。本文分析了现行国际信用评级体系所存在的缺陷,探讨了国际社会及我国政府为进一步完善国际信用评级体系所采取的措施、信用评级对我国商业银行的重要作用及应对建议。  相似文献   

15.
The aim of this paper is to examine the main determinants of the rating likelihood of UK companies. We use a binary probit specification to model the main drivers of a firm's propensity to be rated. Using a sample of 245 non-financial UK companies over the period 1995–2006, representing up to 2872 firm years, the study establishes important differences in the financial profiles of rated and non-rated firms. The results of the rating likelihood models indicate that the decision to obtain a rating is driven by a company's financial risk, solvency, default risk, public debt issuance, R&D, and institutional ownership, thus identifying a wider range of determinants and extending the current literature. The study also finds that the rating decision can be modelled by means of a contemporaneous or predictive specification without any loss of efficiency or classification accuracy. This offers support to the argument that the rating process is fundamentally forward-looking.  相似文献   

16.
主权信用评级问题研究   总被引:1,自引:0,他引:1  
主权信用评级在金融危机中发挥预警作用的同时,还在一定程度上起到了推波助澜的作用。随着各国政府在国际资本市场上发行主权债券的增多,主权信用评级从商业领域步入政治经济领域,不得不引起世界各国政府的高度关注。评级公司在对主权风险进行评级的过程中存在着很多问题,如道德风险、评级失误等,对主权评级过程、模型进行研究、修正具有十分重要的现实意义。本文对标普公司主权评级模型进行了介绍,对主权评级模型提出建议,并对美国主权信用登记进行了分析。  相似文献   

17.
Abstract:   This comparison of solicited and independent bond rating agencies performance reveals that the ratings assigned by Moody's and Standard & Poor's are consistently lower than those assigned by Duff and Phelps and Fitch IBCA and are consistently higher than those assigned by MCM. While Moody's and S&P generally downgrade bond ratings sooner than Duff and Phelps and Fitch IBCA, the four major agencies upgrade at the same time. Moody's tends to have a higher upgrade magnitude than Duff and Phelps, but the downgrade magnitudes do not differ. MCM upgrades its ratings more quickly than either Moody's or S&P. The results give support to the timeliness and accuracy of ratings provided by the independent agencies.  相似文献   

18.
In this paper, we empirically investigate the impact of intensified competition on rating quality in the credit rating market for residential mortgage-backed securities (RMBS) in the period 2017–2020. We provide evidence that competition between large credit rating agencies (CRAs) (Moody's and Standard & Poor's) and newer smaller ones (Dominion Bond Rating Service Morningstar and Kroll Bond Rating Agency) creates credit rating inconsistencies in the RMBS market. While a credit rating should solely represent the underlying credit risk of a RMBS, irrespective of the competition in the market, our results show that this is not the case. When competitive pressure is higher, both large and small CRAs tend to adjust their rating standards (smaller CRAs react to large CRAs and vice versa).  相似文献   

19.
Drawing on the notion of guanxi, which is obligation-bound, in Confucian cultures, this study investigates whether rating leniency and rating compression in performance evaluation are based on supervisor–subordinate acquaintanceship, alma mater ties, and subordinates' physical proximity to their supervisor. After controlling for supervisor–subordinate gender similarity and age difference, this study first finds that public sector supervisors are willing to provide relatively lenient ratings and compressed ratings for their subordinates when their personal acquaintanceship with them is strong, and when there is close physical proximity between them. Second, an alma mater connection with a subordinate leads to rating leniency by the supervisor. Finally, it is worth noting where this study differs from Bol's research (from Western cultures). In particular, while Bol, J.C. [2011. The determinants and performance effects of managers’ performance evaluation biases. The Accounting Review, 86 (5), 1549–1575] demonstrates that age differences between supervisors and subordinates decrease rating leniency, this study documents insignificant results for similar demographic characteristics in age and gender. Bol, J.C. [2011. The determinants and performance effects of managers’ performance evaluation biases. The Accounting Review, 86 (5), 1549–1575] also demonstrates that if a private sector supervisor sharing a work location with subordinates faces relatively lower information-gathering costs, he or she will give less lenient and less compressed ratings. However, this study shows opposite findings for the guanxi norm in Confucian societies.  相似文献   

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