国际三大评级机构主权信用评级模式的经验及启示

发展和完善主权信用评级业是维护我国金融主权和经济安全的重要举措. 以标准普尔、穆迪、惠誉三家评级机构为代表的国际评级机构,均通过综合评估政府偿还债务的能力和意愿来展示主权国家的信用状况. 此评级模式采用定量与定性结合的评估方式,评级指标全面、准确、完整,但具有潜意识下的制度偏好,易受主观影响且透明度不高. 借鉴国际经验,我国应大力扶持主权信用评级机构发展,建立自己的评级标准和模式,并加强主权信用评级市场的规范和监管.     

信用评级机构收费模式探讨

在追踪国外评级机构收费模式发展情况的基础上,对我国评级机构的收费模式进行了深入分析,发现当前我国评级机构收费模式具有其存在的显示依据,收费模式之争关键还是在于提高评级机构的公正性。     

主权信用评级的决定因素与信用评级机构的规范化研究

目前,国际信用评级机构遭遇了自其建立以来最严峻的信任危机。本文研究了主权信用评级的决定因素,并从近几次危机中评级失真的原因分析入手,提出了信用评级机构的规范化方法。研究表明:正常年份中,债务国发展的基本面情况是主权信用评级的主要决定因素;评级行业的垄断与评级机构特殊的政治目的固然是近年来评级失真频现的原因,但国际投资者对于评级机构的过度依赖亦是危机中"评级结果决定主权走势"现象出现的原因之一。要辩证地看待评级机构,既不能一概否认,也不能无限夸大,应该在提高投资者自身风险评估能力的基础上,强化评级市场的竞争,并且努力构建内外监管相结合的全方位监管体系。     

信用评级方法与模式

信用评级是对客户偿还债能力和意愿的评估，是对债务偿还风险的综合评价。经过近百年的发展，形成了不同特点、不同风格的信用评级方法。     

主权信用评级的决定因素与信用评级机构的规范化研究

目前,国际信用评级机构遭遇了自其建立以来最严峻的信任危机。本文在简要介绍信用评级机构与主权信用评级的基础上,从定性与定量的角度研究了主权信用评级的决定因素;并从近几次危机中评级失真的原因分析入手,提出了信用评级机构的规范化方法。研究表明:1、正常年份中,债务国发展的基本面情况是主权信用评级的主要决定因素;2、评级行业的垄断与评级机构特殊的政治目的固然是近年来评级失真频现的原因,但国际投资者对于评级机构的过度依赖亦是危机中"评级结果决定主权走势"现象出现的原因之一;3、我们要辩证地看待评级机构,既不能一概否认,也不能无限夸大,应该在提高投资者自身风险评估能力的基础上,强化评级市场的竞争,并且努力构建内外监管相结合全方位监管体系。     

银行机构信用评级的国际经验与借鉴

本文总结了国外监管部门和中介机构开展银行机构信用评级的主要经验,结合我国实际,探讨了如何借鉴国外经验建立完善我国银行机构信用评级体系。     

发展具有国际话语权的民族信用评级机构

我国信用评级业起步于上世纪八十年代末,目前业务仅限于国内市场,在国际评级领域基本上不具有话语权,这种弱势地位与我国是世界最大债权国的经济地位形成巨大反差。同时,以穆迪、标准普尔和惠誉为代表的国际信用评级机构开始对我国信用评级市场进行渗透和控制,对我国的经济和金融安全造成了很大威胁。本文对我国信用评级机构缺乏国际话语权的危害和原因进行分析,并提出相应的对策建议。     

国际信用评级机构批判

掌控着信用评级的话语权,标准普尔、穆迪投资和惠誉国际（以下简称“三大”）可以对大到国家主权信用评头品足,小到对机构信誉说三道四,进而左右着投资者的行为和影响着国际资本的流向。然而,这些呼风唤雨的国际评级机构在用一个又一个神秘的符号彰显出自己精准预测能力的同时,也在金融市场上掀起了一股又一股怪诞与诡谲的风云。     

全球金融危机下国际信用评级改革及启示

2008年全球金融危机以来,针对信用评级业暴露出来的种种缺陷和问题,欧美各国及国际主要评级机构相继开展了一系列富有成效的改革。正确分析此次全球金融危机下国际信用评级机构暴露出的种种弊端,充分借鉴国际信用评级行业改革经验,对加快推进本国信用评级体系建设,具有重要意义。     

CEO inside debt holdings and credit ratings

In this paper we investigate the relationship between chief executive officer (CEO) inside debt holdings (pension benefits and deferred compensation) and long-term credit ratings. We provide evidence that firms with a higher level of inside debt holdings enjoy better credit ratings. Our results are robust to the use of alternative regression estimation and alternative measures of key variables. We employ instrumental variable–based two-stage least squares regression and instrumental variable regression estimation using heteroskedasticity-based instruments to mitigate the endogeneity concern. In addition, we employ propensity-matched sample and entropy balancing estimates to alleviate endogeneity concerns. Our cross-sectional analyses reveal that the relationship between CEO inside debt holdings and credit ratings is more pronounced in firms with a poor information environment, a weak monitoring mechanism, and powerful CEOs. Overall, findings from our study suggest that credit rating agencies evaluate CEO insider debt holdings positively in assessing the creditworthiness of a firm.     

Understanding credit ratings quality: Evidence from UK debt market participants

This study seeks to identify: (i) the demand for corporate bond ratings provided by credit ratings agencies (CRAs); (ii) how issuers select CRAs; and (iii) to better understand ratings quality, a term widely used by commentators, politicians and regulators, but under-explored in the academic literature. Interviews identify the principal source of demand for rating information is to reduce agency conflicts between issuers and investors. Issuers typically engage between one and three credit ratings agencies to rate their debt, implying a heterogeneous demand for ratings services, and different levels of ratings quality. However, ratings quality extends beyond competence and independence to include factors relating to professional judgment, communication, transparency, and the quality and continuity of analytic staff. Findings were discussed in the light of the ongoing international policy debate concerning CRAs.     

Sovereign risk assessment and agency credit ratings

Sovereign ratings are gaining importance as more governments with greater default risk borrow in international bond markets. However, while the ratings have proved useful to governments seeking market access, the difficulty of assessing sovereign risk has led to agency disagreements and public controversy over specific rating assignments. Recognising this difficulty, the financial markets have shown some scepticism toward sovereign ratings when pricing issues.     

Time series patterns in credit ratings

This article offers a substitute setting to simulate credit rating migrations. The internal correlations model tracks time-series movements within credit rating entries, rather than cross-ratings correlations. The proposed nonhomogeneous process is authenticated through the likelihood ratio Dickey–Fuller test, and is found to be statistically and economically significant, by better fitting observed cumulative default rates. Several nonlinear regression models assist to better identify these time-related patterns. The economic structure underlying the time dependency often corresponds to changes in GDP, business cycles, and market risk. Furthermore, significant positive autocorrelation is detected mostly among downgrade probabilities.     

The impact of sovereign credit ratings on Eurobond yields: Evidence from Africa

The importance of sovereign credit ratings and Eurobonds issued by governments have come to the fore in Africa in the last decade. We examine whether changes in sovereign credit ratings impact Eurobond yields in 8 countries over the period of 2014–2019. Our approach reviews rating changes impact on Eurobond yields utilising the event study methodology. Our findings reflect that, on average, close to a third of rating actions directly impact bond yields in African countries. The statistically significant events include the downgrades of South Africa and Namibia to non-investment grade in 2017 reflecting critical transitions and bond investors’ reactions. Overall, the low percentage of a third, relative to previous international studies, suggests that largely rating changes are anticipated, do not have much new information and perhaps the perceived power of credit rating agencies may be overstated. In our view, the results reflect that pre-announcements of rating review dates since 2014 makes rating actions predictable and less impactful to bond yields. In addition, they reflect that bond investors adjust in real time as new information come in, resulting in less reliance on the opinions of CRAs and using their own assessments.     

The role of credit ratings on capital structure and its speed of adjustment: an international study

Using an international dataset, we examine the role of issuers’ credit ratings in explaining corporate leverage and the speed with which firms adjust toward their optimal level of leverage. We find that, in countries with a more market-oriented financial system, the impact of credit ratings on firms’ capital structure is more significant and that firms with a poorer credit rating adjust more rapidly. Furthermore, our results show some striking differences in the speed of adjusting capital structure between firms rated as speculative and investment grade, with the former adjusting much more rapidly. As hypothesized, those differences are statistically significant only for firms based in a more market-oriented economy.     

Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms

Ratings issued by credit rating agencies (CRAs) play an important role in the global financial environment. Among other issues, past studies have explored the potential for predicting these ratings using a variety of explanatory factors and modeling approaches. This paper describes a multi-criteria classification approach that combines accounting data with a structural default prediction model in order to obtain improved predictions and test the incremental information that a structural model provides in this context. Empirical results are presented for a panel data set of European listed firms during the period 2002–2012. The analysis indicates that a distance-to-default measure obtained from a structural model adds significant information compared to popular financial ratios. Nevertheless, its power is considerably weakened when market capitalization is also considered. The robustness of the results is examined over time and under different rating category specifications.     

ESG in credit ratings and the impact on financial markets

This study examines environment, social, governance (ESG) consideration in rating reports published by credit rating agencies. 3,719 Moody's credit rating reports between 2004 and 2015 are examined and the ESG consideration is analyzed using a latent dirichlet allocation (LDA) approach. We further analyze the stock returns and credit default swap (CDS) spread changes to check whether ESG consideration has an effect on the capital market reactions. We find a small but present consideration of ESG in rating decisions. Within ESG, corporate governance plays the most important role. Moreover, the results reveal that ESG consideration is a significant determinant in the stock return and CDS spread around the rating announcement. We find that all ESG criteria are important for equity and debt investors.     

The effect of corporate governance on firm’s credit ratings: further evidence using governance score in the United States

We investigate whether corporate governance affects firms’ credit ratings and whether improvement in corporate governance standards is associated with improvement in investment grade rating. We use the Gov‐score of Brown and Caylor (2006) , the Gomper’s G index and an entrenchment score of Bebchuk et al. (2009) to proxy for corporate governance. Using a sample of US firms, we find that firms characterized by stronger corporate governance have a significantly higher credit rating, and that this association is accentuated for smaller firms relative to larger firms. We find that an improvement in corporate governance is associated with improvement in bond rating.     

The information content of credit ratings: evidence from European convertible bond markets

Prior research has investigated the information content of credit ratings for standard financing instruments such as stocks and corporate bonds, while this question has been neglected for convertible bonds (CBs) so far. CBs are simultaneously determined by the bond floor and the conversion value, which makes it more difficult to assess price effects following rating announcements. In this context, we compare price effects of CBs with those of stocks and corporate bonds of the same issuer using robust event study methods. Our findings indicate that rating changes convey new information for investors in European CBs. In terms of the direction of the expected price reaction, we find CBs to react in a more debt-like manner to the announcement of a rating change. Moreover, our results provide evidence that the magnitude of price reactions differs among different types of securities.