信用評等機制與次級房貸危機

Credit Rating Mechanism and Sub-primes Crisis

劉晶樺(Ching-hua Liu)

指導教授 ： 邱慈觀

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2008年)

摘要

美國以次級房屋貸款為主的不動產貸款抵押證券化，導致了金融體系信用風險承擔總量的增加，而MBS、CDO及CDS等衍生性商品的出現，則使得信用風險由信貸領域轉移到資本市場，進而廣泛傳導到更多的投資者。有鑑於此，當風險承擔和轉移成為現代金融創新的核心內容時，顯然有可能加大系統性風險和金融危機的傳染效應。
信評機制因具有公平、中立、透明的特性，而成為信用市場交易的重要依據基礎。尤其是在CDO及CDS等金融創新商品，投資人無法直接得知商品風險時，更須仰賴獨立的信評機制以作為投資依據，但信評機構在次貸危機中的反應，卻動搖了市場對信評機構的信心與依賴。在次貸危機爆發前，信評機構大多根據歷史違約紀錄及數學模型等，給予次貸相關衍生性產品較高評等，但因美國房地產市況惡化，出乎信評機構預料之外，使得次貸的違約狀況遭到低估，導致危機爆發後，更改調整模型後又迅速調降次貸相關產品的評等，引起市場質疑信評機構的信評準則和背後的理念；再者，由於信評機構的客戶往往就是這些次貸證券化產品的發行商，信評機構與證券發行者之間存在利益衝突也將動搖信評機構過往強調的中立性。
本論文除闡述信評機構在證券化商品成敗的重要性關係，藉以了解信評機構在次級房貸風暴中所扮演的角色外，併以歸納法整理出信評機制在監管體制下可能存在的風險與危機，並了解其評價模型在各項參數設置考量下是否得宜，並就此提出改革建議，俾供未來制度調整之參考。

關鍵字

CDS ； 信用評等 ； 信評機制 ； 次級房貸 ； CDO

並列摘要

The underlying assets of mortgage-backed securitization are mainly composed of sub-primes mortgages in the US in the recent years, and this in term increases the overall credit exposure in the financial market. The emergences of derivative products such as MBS, CDO, and CDS have diverted the credit risks to the capital market and in transition, more investors are exposed to such risks. Consequently, the core of today’s financial market becomes more about taking and shifting credit risks. This might in turn magnify the systematic risks and should a crisis happens, it would amplify the effect.

The qualities of subjectivity, fairness and transparency in rating mechanism are the important fundamentals in the credit trading market. In the case of new financial innovated products such as CDO and CDS, investors do not have direct access to the actual underlying risks; they have to rely entirely on the independent credit rating mechanism. However, in the case of sub-primes crisis, the credit rating agencies have vacillated market’s confidence and reliance on them. By evaluating the historic default rates and using mathematically models, good ratings were produced on sub-primes products before the sub-prime crisis. The deterioration of the US real estate market was not within credit rating agency’s expectation and underestimated the default rates. The agencies remodeled the assumptions and downgraded the ratings instantly after sub-primes crisis started. This makes the market question the agencies’ standards in producing credit ratings. In addition, the clients of the rating agencies are often the issuers of those sub-primes products, one cannot help to interrogate the subjectivities of the agencies and the possible conflicts of interests between client and the agencies.

This article discusses the importance of credit rating agencies in the success or failure of the securitization products. It recites the roles played by the rating agencies in this sub-primes crisis; and it induces the possible risks in the credit rating mechanism. The article suggests possible reforms for the future changes in regulations.

並列關鍵字

Sub-Primes ； CDO ； CDS ； Credit Rating Mechanism ； Credit Rating

參考文獻

﹝16﹞ 廖四郎、李福慶，「擔保債權憑證之評價－Copula分析法」。

﹝9﹞ 梁世馨，「金融資產證券化之研究－以投資人保護為中心」，國立成功大學，民國96年。

﹝1﹞ Cheng-Mount Cheng ，Renee Chen “Market trublence”，Citiview Bilingual Weekly，Jul 31,2007.

文獻參考

英文部分