- 學位論文
信用評等與違約率之回顧 -- 以TCRI 為例
A Review on Credit Rating and Default Rate -- The Case of TCRI
摘要
由於評等等級給予使用者一個直接明確的信用風險等級參考，故廣為投資者、銀行及其他機構所引用；隨著金融商品的多樣化及複雜化，評等公司所提供的服務內容及範圍亦隨之擴大。雖然每當經過全球經濟不景氣或信用危機後，金融監理機關及評等使用者常對評等公司的獨立性、營業型態等有所微辭，但是國際間大型評等機構所發佈之評等資訊，卻仍然廣為使用者所引用。 自民國86年4月公佈實施「信用評等事業管理規則」以來，至今僅有四家國際大型評等公司的子公司或分公司依此設立，但評等的產業別及受評公司的數量均相對較少。民國80年即成立的台灣經濟新報於85年8月起即依據市場上的公開資訊，以不收費的方式主動定期提供上市櫃公司及公開發行公司信用風險變動的資訊，此即為台灣企業信用風險指標(Taiwan Corporate Credit Risk Index,“TCRI”)。雖然使用者知悉該指標依風險的高低分為1~9等，但對其中各等級所隱含的違約率、跨年期違約率、及與國際大型評等機構之評等等級對照及違約率的比較則相對較不明瞭。 由於各評等機構都有其理論架構、評等模型、假設參數、及主觀調整事項，且歷年來亦多有學者討論各個模型的有效性、錯誤率、修正提案等，本文在此不再對該等議題續加探討，僅從一般使用者的角度，以評等公司所公佈的資料為依據，就評等等級、違約率的變化、及多家評等公司各等級的相關資料做一回顧及比較。 本研究取樣TEJ自2001~2010所發佈的TCRI評等資料及違約資料。首先，針對評等家數、各等級違約率、跨年期違約率及其相關的變化趨勢等做一個歷史性的回顧，而後再依TEJ所建議的等級對照表，比較S&P、Moody’s及TCRI三者間各等級跨年期的違約率，觀察三者之間的趨勢及異同。 研究中發現： 1. TCRI評等為中度風險[4~6等]的公司約佔一半以上，高風險[7~9等]的公司約佔30~40%，低風險[1~3等]的公司相對較少。 2. 四等與五等的違約率相當，高風險的上市櫃公司其十年平均違約率較同等級的公開發行公司為高。 3. 跨年期的資料中，高風險等級的上市櫃公司其違約率高於同等級的公開發行公司。 4. 跨年期違約率變化百分比中，以前2~3年的變化最大(高達2~3倍)，且高於歷年平均值；以平均值而言，每增加一年，違約率平均較前一年增加約50% ~ 70%。 5. 以S&P、Moody’s、及TCRI的對照資料中，在多年期的資料觀察期間內，S&P在低風險的族群中隨著跨期期間的加長而出現較高的違約率，而Moody’s在高風險的族群中隨著跨期期間加長出現較高的違約率，依此擬推論S&P對低風險的受評公司有出現較為樂觀的趨勢，而Moody’s對高風險的受評公司有出現較為樂觀的趨勢。 6. 依Basel II規定，引用外部評等作為資本計提的依據時，該資料庫需有20年以上的資料，因TCRI資料組數目前僅有14年，相對較少，對前述的各項觀察，待TCRI資料組數達20年以上時，有待後人再來做進一步的觀察、比較。 關鍵字:信用評等、違約率、TCRI
並列摘要
Rating has been providing a direct and easy-to-use reference in terms of credit risk, it has been widely used by investors, banks, and others. The services and scope provided by rating agencies have also been expanded and enlarged in recent years due to the variety and complexity of lately financial products. Ratings are still widely used, although the independence and the business model of those internationally recognized rating agencies have been criticized by the regulatory authorities and rating users, especially while encountering the financial turmoil and credit crunch. “Regulations Governing the Administration of Credit Rating Agencies” was proclaimed and in effect on April 30, 1997. Up to now, only 4 locally registered rating companies was established under such rules, either in the form of subsidiary or branch. Furthermore, the number of rated companies and rated industries are relatively limited. On the other hand, Taiwan Economy Journal Co. Ltd (“TEJ”) was established back to 1991, and started providing its rating services on those listed companies and public companies, based on the public information, without charging those rated companies. Taiwan Corporate Credit Risk Index (“TCRI”) is the rating services provided by TEJ since mid of 1996 which has been widely used by banks, investment institutions and others. The grade 1~9 within the Index are widely known by the users, the default rates, however, or cumulated default rates (CDR) on each grade within different time span (years) have not been well-noted by the users. Grade-mapping to those internationally recognized rating companies in terms of default rates and CDRs is another issue which has not been quite noted by the users, either. Each rating company has its own rating theories, models, variables, and subjective adjusting factors while performing its ratings. Prior research has also addressed the associated effectiveness, error rates, modifications, and others in those studies. We, however, are not to further discussing those issues in this paper. We are to review the rating grades, the default rates, CDRs, and the trends on those issues, simply based on the rating data provided by the rating companies. TCRI Rating Data from 2001 to 2010 are taken from TEJ databank. We trace the trend of rated companies, the default rates in each grades each year, CDRs along each time span, and the trends of those issues. Furthermore, we also compare those related issues of TCRI with those of S&P, and Moody’s as per the data announced by each company. Per analysis made in this paper, it is observed that: 1. Numbers of mid-risk [MD] rated companies [grade 4~6] are more than half of the total numbers of rated companies, while high-risk [HD] companies are about 30~40%, and the low-risk [LD] companies are relative limited; 2. Default rates on grade 4 and 5 are close to each other, and the 10-year average default rate of HD listed companies is higher than that of public companies; 3. CDR of HD listed companies are higher than that of same-grade public companies; 4. CDR “percentage change each year” in the first 2~3 years are the highest ones (up to 2~3 times) while comparing with that of other time span, and they are also higher than the 10-year average default rate which is about 50~70% each year; 5. While comparing the CDR data among S&P, Moody’s, and TCRI, higher default rate on those LD companies is seen in the data of S&P when tenor increases, and higher default rate on those HD companies is seen in the data of Moody’s when tenor increases. It is presumed S&P is more optimistic on those LD rated companies while Moody’s is more optimistic on those HD companies while performing its rating services; 6. Databank shall contain more than 20 years’ data if external rating data is to be used in terms of banks’ capital requirement as per Basel II. Since existing TCRI’s data is no more than 14 years, further study on the observations made in this paper is invited when TCRI is with more than 20 year’s data. Key words: Credit Rating、Default Rate、TCRI