Are Rating Agencies Powerful? An Investigation into the Impact and Accuracy of Sovereign Ratings
Are Rating Agencies Powerful? An Investigation into the Impact and Accuracy of Sovereign Ratings
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评级机构实力强吗？
DOI：
10.5089/9781463931858.001.a001
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发表时间：
2012
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;Sylwia Nowak;Liliana B. Schumacher
我们发现，信用评级机构S的意见对主权发行人的融资成本有影响，因此评级是金融稳定的一个担忧。尽管在对主权国家的违约风险进行排序时，主要评级机构的评级表现相当不错，但有证据表明，在最近的全球金融危机期间，评级稳定失败了。这些失败表明，评级应纳入义务人对压力情景的韧性。经验证据还支持：(1)改革举措，以减少评级机构认证服务的影响；(2)如果评级要用于资本监管，则对评级提出更严格的验证要求；(3)在评级过程中使用的量化参数方面更加透明。
We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CRAs perform reasonably well when it comes to rank ordering default risk among sovereigns, there is evidence of rating stability failure during the recent global financial crisis. These failures suggest that ratings should incorporate the obligor's resilience to stress scenarios. The empirical evidence also supports: (i) reform initiatives to reduce the impact of CRAs' certification services; (ii) more stringent validation requirements for ratings if they are to be used in capital regulations; and (iii) more transparency with regard to the quantitative parameters used in the rating process.