债务抵押凭证(CDO)的风险与信用评级研究

Research on the Risk and Credit Ratings Of Collateralized Debt Obligations

债务抵押凭证(CDO)是金融市场重要的风险转移工具,具有信用级别高、收益水平高的特征,其市场规模扩展迅速。但这种金融创新产品因较复杂的基础资产和分层结构,产生出异于传统公司债券的风险特征。很多投资者没有真正了解其潜在风险,且信用评级质量不佳,致使CDO投资者在次贷危机中遭受严重损失甚至破产。因此有必要深入了解CDO所具有的风险特征和CDO产品信用评级的一般方法,纠正现有评级方法的不足,分析其对次贷危机的影响。

Collateralized Debt Obligations （CDO） are tools of risk transfer in the financial market, which have the characteristics of high credit ratings and high yield. The CDO market has developed rapidly in recent years. But the innovative product is different from the traditional corporate bonds in risk characteristics, because of the complex port- folio assets and tranches. Many investors do not realize the potential risk and don＇ t know its credit rating quality is low, which causes big loss. Therefore, it is vital to know the risk characteristics of CDO and its rating methodology. This paper also summarizes the shortcomings of the rating methods and its negative influence on the subprime crisis.