商业银行信用风险评级测度方法研究

文章对目前我国商业银行在信用评级研究中涉及的各种信用测度模型进行了系统的回顾与总结,对现有各种评级方法的优缺点及适用场合等做了必要的比较研究.文章认为目前我国信用风险评级测度方法研究存在模型研究与指标体系研究相脱节的现象,指出信用风险评级研究应该综合考虑风险分析、模型研究、指标体系研究,并给出了建立信用风险评级模型的基本设想.     

商业银行客户信用评级研究--基于平衡计分卡视角

信贷业务是国内商业银行的主营业务,客户信用评级作为控制商业银行信贷风险的重要一环是商业银行进行授信、贷款审批和贷后管理的基础。客户信用评级体系的开发和完善也成为了当前银行工作的重点。文章基于平衡计分卡的视角,针对当前商业银行客户信用评级管理的现状与不足,从四个方面对评级指标进行选取。同时使用层次分析法对指标体系进行权重分配并设定相应的评分标准和客户信用等级,最后通过案例分析对模型的操作性和有效性进行了验证。文章的评级模型并不同于国外研究论述的数学模型,其在操作上更加简便,信息获取也较为方便,更加适合当前我国商业银行借鉴和使用,因此也在一定程度上对我国商业银行客户信用评级体系的不断完善提供了参考意见。     

内外部评级结合：商业银行信贷风险管理的有效选择

间接融资在我国企业融资中占绝对优势，而来自经济、社会、文化方面的各类因素不断诱发着诸多形态的银行信贷资金风险，而作为当前商业银行控制信贷风险手段之一的内部评级具有一定的局限性，需要外部评级为商业银行信贷风险监管助力。文章通过对我国借款企业信用评级的内涵、种类及内外部评级优势比较的分析，简述外部评级在信贷风险防范中的作用，并提出建立“内外结合”的信用评级体系，有效防范银行信用风险的建议。     

我国商业银行客户信用评级方法研究

本文从商业银行客户信用评级方法角度出发,分别介绍国外商业银行的实际操作方法与现状,并与我国银行进行对比,分析发现我国银行在建立客户评级方法中存在的问题,对评级指标设置提出完善建议。希望通过这些研究建议,为我国商业银行客户评级体系的完善提供一些思路。     

浅析我国信用评级需求的扩大

市场经济对信用的需求源于信息的不对称。信用评级作为市场经济的监督手段 ,对经济的发展具有重要意义。文章分析了目前在我国信用评级比较被动的情况下 ,限制评级需求的许多因素 ,以及信用评级客观需求的增加 ,并力图给出扩大评级需求的建议     

针对国际评级机构对我国银行业评级引发的思考

在当今国际金融市场中,信用评级机构的作用不容小视.当前我国还没有建立具有相当规模的评级机构体系,故在很大程度上受到国际评级机构的影响,而当前国际评级机构对我国商业银行的评级存在较大的差异,在一定程度上对我国的中国金融主权安全产生了一定的影响.所以,我国必须尽快建立中国特色的信用评级体系,从而实现对内不受任何利益组织所控制,对外不为任何国际势力所左右.     

针对国际评级机构对我国银行业评级引发的思考

在当今国际金融市场中，信用评级机构的作用不容小视。当前我国还没有建立具有相当规模的评级机构体系，故在很大程度上受到国际评级机构的影响，而当前国际评级机构对我国商业银行的评级存在较大的差异，在一定程度上对我国的中国金融主权安全产生了一定的影响。所以，我国必须尽快建立中国特色的信用评级体系，从而实现对内不受任何利益组织所控制，对外不为任何国际势力所左右。     

评级和非评级债务

评级债务是在资本市场上发行的拥有由一个或多个评级机构对其所作的信用评级的债务。这些机构独立从事信用评估业务。现今最知名的机构是穆迪投资者服务公司(Moddy's Investors Services)和标准普尔公司(StandardPoor's)。信用评级是可以选择的,公司必须要求评级机构提供一个发行债务的评级。信用评级给债务证券的持     

企业信用评级的经济学分析

本文首先陈述了我国企业间由于信用销售成本之巨大，说明了对企业进行信用评级的重要性；然后从规模经济效应、资产专用性以及外部效应三个角度对企业信用评级进行了分析，提出了信用评级的“大企业”概念，认为在“大企业”的环境中，信用评级的社会总平均成本（即单个企业的信用评级成本）是会降低的。     

国外信用评级理论进展综述

本文首先阐述了当前信用评级的发展现状和遇到的问题,然后分别从信用评级稳定性研究与信用预测模型研究两条主线对近些年国外主要信用评级理论进行了概述,通过分析得出对我国信用评级发展具有借鉴价值。     

Rating of Network-Integrated Corporations

While conventional rating systems are still focused on individual companies, in reality stand-alone business of a single enterprise respectively debtor is more likely the exception than the rule. Joint business activities of two or more companies (organizational networks) are becoming ubiquitous and have a critical influence on each partners’ success. In order to avoid that rating that turns into some rather useless ritual, network characteristics, such as network assets, network capital, network securities, network management competency, network business opportunities and network structure have to be taken into account when evaluating solvency of a network-embedded corporation. Using primary credit cooperatives as an illustrative object, this paper gives an overview on those new rating criteria becoming relevant in conjunction with network-embeddedness, so that workable opportunities can be shown to improve the reliability of ratings.      

评级机构竞争、声誉与债券信用评级质量

本文以我国2010—2014年的企业债和公司债为样本,构建了新的声誉指标,分析了声誉机制和评级机构竞争对债券信用评级质量的作用机理。结果表明：高声誉的评级机构出具的债券信用评级具有较高的评级质量;评级机构竞争加剧了评级虚高,降低了债券信用评级质量;声誉机制能够抑制评级机构竞争导致的评级虚高,提高债券信用评级质量。本文为衡量我国评级机构声誉提供了新的视角,有助于辩证地看待评级机构竞争的影响。     

Reliable Estimates of Sovereign Rating

International Advances in Economic Research -     

Rating the credit rating agencies

We offer herein several policy tools that can assist the new Office of Credit Ratings within the Securities and Exchange Commission in assessing the quality of past credit ratings and thus measuring the inclusive competency of credit rating agencies. We propose to weigh the degrees of accuracy, consistency and total synchronization between a tested sample of past ratings and a benchmark array of flawless ratings. We also discuss various techniques to handle major discrepancies between these two arrays of credit ratings. We further explain and demonstrate the importance of different sample sizes. In addition, we present a simple approach to estimate the probability of convergence between the two matched sets of ratings under specified governing thresholds. Lastly, we illustrate the bulk of the theory with a concise empirical investigation.     

Why Credit Rating Agencies Exist

Although credit rating agencies exist and are important to the capital markets, there remains a question of why they should exist. Two standard theories are that rating agencies correct a problem of information asymmetry and that they de facto regulate investments. These theories do not fully answer the question. This paper suggests an alternative explanation. While rating agencies produce little new information, they sort information available in the credit market. This sorting function is needed due to the large volume of information in the credit market. Sorting facilitates better credit analysis and investment selection, but bond investors or a cooperative of them cannot easily replicate this function. Outside of their information intermediary and regulatory roles, rating agencies serve a useful market purpose even if credit ratings inherently provide little new information. This alternative explanation has policy implications for the regulation of the industry.     

信用等级转移分析

在我国现阶段 ,商业银行开展的业务主要是贷款业务。信用等级是识别、度量和控制贷款的信用风险的重要参数。本文通过对度量信用等级变化的转移矩阵的介绍 ,结合贷款五级分类方法 ,说明转移矩阵在商业银行贷款风险管理的作用 ,并指出我国现阶段建立转移矩阵贷款数据库对管理贷款风险的重要性和迫切性。     

The Impact of the Rating Agencies' Through‐the‐cycle Methodology on Rating Dynamics

Surveys on the use of agency credit ratings reveal that some investors believe that credit‐rating agencies are relatively slow in adjusting their ratings. A well‐accepted explanation for this perception on rating timeliness is the through‐the‐cycle methodology that agencies use. Through‐the‐cycle ratings are intended to measure default risk over long investment horizons and to respond only to changes in the permanent component of credit quality. A second aspect of the through‐the‐cycle methodology is the prudent migration policy. In a benchmark study with a financial ratio‐based credit‐scoring models – an agency‐rating prediction model and default‐prediction models with various time horizons – we confirm the exclusive focus of agencies on the permanent component of credit quality and we model and quantify the agencies' prudent migration policy. A rating migration is triggered only when the rating predicted by the agency‐rating prediction model differs by at least a threshold level of 1.8 notch steps from the actual agency rating. If triggered, ratings are only partly adjusted by 70 per cent at the downside and 60 per cent at the upside. From a 1‐year point‐in‐time perspective, weighting temporary fluctuations in credit quality, the through‐the‐cycle methodology lowers the rating‐migration probability by a factor of 3.5. Both aspects of the through‐the‐cycle methodology contribute equally to this factor. The partial adjustment of ratings lowers the rating‐reversal probabilities on short term and introduces rating drift, the known serial correlation in agency‐rating migrations.     

付费模式、声誉与信用评级质量——基于我国债券市场的经验证据

本文利用中债资信对债券发行主体进行主动评级的数据,考察了投资者付费模式的引入对我国债券市场上发行人付费评级机构行为的影响。实证结果表明,投资者付费模式评级具有标杆效应,相对于没有被中债资信评级覆盖的样本,被中债资信进行主动评级的样本其发行人付费评级与之前相比有显著降低,评级质量有所提升,进一步研究发现,投资人付费模式主要通过声誉约束机制发挥作用。本文的研究结论肯定了投资者付费模式评级在我国信用评级市场发挥的积极作用,并提出监管机构可在合适情况下推出双评级制度。     

信用评级体系的定量验证研究

对信用评级体系的验证已成为银行风险管理面临的重要挑战之一。参照新巴塞尔资本协议的要求,除对信用评级体系进行了违约预测力和违约拟合度统计检验外,还突出了样本分布稳定性的定量验证分析。同时,基于我国上市公司资料建立信用评级体系进行了应用研究,结果显示,所建立的信用评级体系具有较高的违约预测力、违约拟合度和样本稳定性。     

等级融资理论的修正及其局限

等级融资理论研究了企业的融资方式选择问题，对我国公司的融资方式选择有着现实的指导意义。修正了等级融资理论，认为等级融资理论在我国的应用存在一定的局限性。