信用评级的质量评价:收益率导向方法

How to Rate the Raters? A Yield-based Methodology

对于如何定量评价信用评级机构(Credit Rating Agencies/CRAs)的评级质量,目前学术界还很少有文献专门讨论。在研究其它主题的文献中曾出现过一些评价方法,这些方法包括考察违约率和评级之间的关系是否正常,计算信用等级迁移矩阵,计算市场隐含评级,度量股票市场对评级调整的反应程度等。但这些方法或多或少在定量性、实时性、综合性等方面存在缺陷。债券的收益率中隐含了信用风险,在其他条件相同的情况下,评级越高的债券信用风险应该越低,收益率也应该越低。本文尝试从这种收益率和评级之间的关系出发,设计实时指标来度量信用评级的质量,并对中国银行间债券市场上的评级机构做了应用分析。

The credit rating agencies（CRAs）have been highly criticized for their roles in the subprime crisis. This make the us- ers of credit ratings, including investors and regulators, recognize the importance of the quality and accuracy of ratings. There- fore, it is urgent to find feasible methods to measure the performanee of these CRAs. As far as we know, there are scarce aca- demic studies to directly discuss this issue. The common sense is that the credit risk of a bond is implicitly embedded in the bond yield. Holding other things equal, the higher the rating of a bond gets, the smaller its credit risk is and the lower its yield is. Based on this intuition, our article extends the current literature on the valuation of CRAs＇ performance by adding some new techniques.