信用评级变动的时效性研究——基于违约距离视角

Research on Monitoring Credit Risk——Based on Distance to Default

文章基于万得数据库中2011-2014年间所有主体信用评级被调降且原主体信用评级在AA+到AA-之间的上市公司数据和KMV模型,对债券发行主体的违约距离以及违约距离对信用风险变化的捕捉能力及敏感性进行了研究,报告了信用债券发行主体信用评级变动和相应的违约距离的现状,通过采用实证分析的方法,展开对信用评级的时效性调查,反映了国内信用债券的信用评级变动可能存在滞后的问题,得出的基本结论为:在对KMV模型结果做出适当修正后可以对信用债券的信用风险的变化进行较为及时的指示作用。同时,文章还提出了信用评级机构应该对信用债券发行主体以及相关行业的基本面保持更高的关注度和敏感性以便提升对相应的信用风险变化识别的时效性的政策建议,以期实现帮助债券市场更准确地识别信用债券的信用风险的目的。

Based on the data of listed corporations with original AA- to AA＋ credit rating but downgraded during 2011 to 2014 in Wind database, this paper calculates distance to default of these corporations by using KMV model, and examines the capability of distance to default to capture variance of credit risk. The result shows that modified KMV model results are able to indicate credit risk change of corporate bonds and that corporation credit rating change might lag behind the credit risk change of corporations. This paper suggests that domestic credit rating firms should pay more attention to changes of corporation operations and related industry status so as to enhance the timelyness of credit rating and to help the bond market to evaluate credit risk accurately.