信用评级质量检验机制探讨——基于评级结果与债券定价一致性的视角

Discussion on Credit Rating Quality Inspection Mechanism: From the Perspective of Consistency between Rating Results and Bond Pricing

评级质量是评级机构的立身之本,研究如何有效识别、判断评级结果的科学性、准确性,建立健全信用评级质量检验机制具有重要意义。围绕评级间接一致性检验问题,从利差检验法着手,对853个信用债样本进行方差分析,并引入先验对比检验和趋势检验。实证结果表明,从整体上看,不同信用等级对应的债券利差存在显著性差异,且信用利差与信用等级呈负向线性关系。但是,个别评级机构部分评级等级对应的信用利差差异性并不明显,评级结果对债券价格的揭示能力有限,评级质量有待提高。今后,应统一信用评级质量检验标准,加强违约率基础研究,提高评级区分度,以完善信用评级质量检验机制。

Rating quality is the foundation of rating agencies. It is of great significance to study how to effectively identify and judge the scientificity and accuracy of rating results and establish and perfect credit rating quality inspection mechanism. Regarding the indirect consistency test of ratings, the variance analysis of 853 credit bond samples is carried out from the spread test method, and the prior comparison test and trend test are introduced.The empirical results show that, on the whole, there are significant differences in bond spreads corresponding to different credit grades, and there is a negative linear relationship between credit spreads and credit grades. However,the difference of credit spreads corresponding to some ratings of individual rating agencies is not obvious, and the ability of rating results to reveal bond prices is limited, and the quality of rating needs to be improved. Finally, it puts forward relevant policy suggestions to improve the credit rating quality inspection mechanism from the aspects of unifying the credit rating quality inspection standards, strengthening the basic research on default rate and improving the rating differentiation.