Rating Through-the-Cycle: What Does the Concept Imply for Rating Stability and Accuracy?
Rating Through-the-Cycle: What Does the Concept Imply for Rating Stability and Accuracy?
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整个周期的评级：这个概念对评级稳定性和准确性意味着什么？
DOI：
10.5089/9781475552119.001
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发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Liliana B. Schumacher
中科院分区：
文献类型：
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作者：
J. Kiff;M. Kisser;Liliana B. Schumacher
信用评级机构在提供准确和稳定的评级之间面临着艰难的权衡。特别是，其用户一直表示偏好评级稳定性，这是由于评级频繁变化时交易所产生的交易成本。评级机构通常在整个周期的基础上进行评级，而银行的内部估值往往基于时间点的表现，即它们与被评级实体或工具的基础资产的当前价值有关。本文比较了这两种方法，并评估其对评级稳定性和准确性的影响。我们发现，虽然贯穿整个周期的评级最初更稳定，但它们容易出现评级悬崖效应，并且在预测未来违约方面表现较差。这是因为它们通常是平滑和延迟的评级变化。使用一种更严格的压力测试方法来缓解悬崖效应，但仍然容易出现任意评级变更延迟。
Credit rating agencies face a difficult trade-off between delivering both accurate and stable ratings. In particular, its users have consistently expressed a preference for rating stability, driven by the transactions costs induced by trading when ratings change frequently. Rating agencies generally assign ratings on a through-the-cycle basis whereas banks' internal valuations are often based on a point-in-time performance, that is they are related to the current value of the rated entity's or instrument's underlying assets. This paper compares the two approaches and assesses their impact on rating stability and accuracy. We find that while through-the-cycle ratings are initially more stable, they are prone to rating cliff effects and also suffer from inferior performance in predicting future defaults. This is because they are typically smooth and delay rating changes. Using a through-the-crisis methodology that uses a more stringent stress test goes halfway toward mitigating cliff effects, but is still prone to discretionary rating change delays.