| CDO产品信用评级方法分析 |
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| 引用本文： | 张家平. CDO产品信用评级方法分析[J]. 哈尔滨商业大学学报(社会科学版), 2009, 0(5): 7-11 |
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| 作者姓名： | 张家平 |
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| 作者单位： | 华侨大学,福建,泉州,362021 |
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| 基金项目： | 广东省普通高校人文社会科学重点研究基地研究创新团队项目 |
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| 摘 要： | 结构性产品以其设计的灵活性、降低融资成本和风险管理成本以及丰富投资品种等优势,一经产生便获得迅猛发展,很快成长为全球固定收益市场中重要的组成部分.然而,2007年次贷危机爆发,结构性产品成为某些分析者眼中的替罪羊,为结构性产品进行信用评级的评级机构也随之声名狼藉,成为众矢之的.通过介绍CDO产品的评级过程和三大评级机构(穆迪、标准普尔和惠誉)的评级方法,分析评级中可能存在的模型风险、评级套利(rating model arbitrage,又称为rating shopping),以期相对我国对国际信用评级方法的借鉴和改进结构性产品信用评级质量的方向有所助益.
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| 关 键 词： | 信用评级 模型风险 评级套利 |
Analysis on the Credit Rating of Structured Products |
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| ZHANG Jia-ping. Analysis on the Credit Rating of Structured Products[J]. Journal of Harbin University of Commerce:Social Science Edition, 2009, 0(5): 7-11 |
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| Authors: | ZHANG Jia-ping |
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| Affiliation: | Huaqiao University;Quanzhou 362021;China |
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| Abstract: | Structured products obtain the rapid development once they were produced for their flexibility,low cost of financing and risk management and rich choice of investment,and grow soon to an important component of the global fixed-income markets.While with the outburst of subprime crisis in 2007,structured products are used as scapegoat and credit rating agencies which have rated them are brought into disrepute and target of public criticism.This paper firstly introduces the rating process of structured product... |
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| Keywords: | credit rating model risk rating model arbitrage |
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