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论文编号：	6247
作者编号：	2120122620
上传时间：	2014/6/6 12:28:42
中文题目：	基于利益冲突与评级选购的信用评级机构博弈研究
英文题目：	The Game of Credit Rating Agencies Based on Conflict of Interest and Rating Shopping
指导老师：	王永进
中文关键字：	信用评级机构;利益冲突;评级选购;评级网络结构
英文关键字：	Credit Rating Agencies;Conflict of Interest;Rating Shopping;Rating Network Structure
中文摘要：	以标准普尔、穆迪、惠誉为代表的信用评级机构在金融市场中扮演着关键角色，但自2008年全球金融危机爆发以来，信用评级机构受到了广泛的谴责与质疑。对信用评级机构的批评主要有两方面，一是认为其“发行者付费”的商业模式导致了利益冲突，信用评级机构为了获得发行者的评级费，对其债券评级过于宽松，造成了评级膨胀；二是认为信用评级行业过于垄断，市场结构太集中，三大信用评级机构占据了绝大部分市场份额，使得其对市场的影响力太大，应增加信用评级行业的竞争，但竞争越激烈，就越便利了发行者的评级选购行为。 本文就从信用评级行业中的利益冲突与评级选购为出发点，建立包括信用评级机构、发行者、监管者、投资者四种角色在内的均衡博弈模型，并以信用评级机构和监管者为重点分析对象，探讨他们在诚实主义情境和机会主义情境下各自的最优决策，同时还分别考虑了信用评级行业为完全垄断、双寡头和竞争性状态时的评级准确性、市场利润等指标，并对不同市场结构下的市场状况进行了横向的比较静态分析。在均衡博弈模型中，本文还引入了全新的概念——评级网络结构，进一步分析评级网络结构下的信用评级行业在评级准确性和市场利润等方面是否有明显的改进作用。 通过研究发现，本文提出的最大创新——评级网络结构可以在不改变“发行者付费”的商业模式和竞争性的市场结构前提下，有效地提升评级准确性，增加市场利润，本文从理论上证明了这种结构的优越性。此外，本文也揭示了信用评级行业的一些特性，如增加信用评级行业的竞争会降低市场的评级准确性，但当声誉成本较低时，增加竞争能够获得更高的市场利润；诚实主义的信用评级行业不论在评级准确性还是市场利润方面，都优于机会主义的评级行业。 全文共分五章，第一章是引言，阐述研究背景、意义及本文的研究内容、方法和创新之处；第二章是相关文献综述，构成本文的理论基础；第三章是利益冲突与评级选购的机理研究；第四章为重点的均衡博弈模型，对诚实主义和机会主义情境下的独占、双寡头、竞争性的信用评级行业分别建立模型，提出评级网络结构，最后对不同市场结构下的市场状况进行比较静态分析；最后一章为全文的总结。
英文摘要：	Credit Rating Agencies (CRAs), such as Standard & Poor’s, Moody’s and Fitch, have played an important part in financial markets. However, they have received considerable criticism by public since the global financial crisis began in 2008. Most criticism of credit raters centers on two aspects: The first one is the potential conflict of interest created by CRAs' business model--issuer-pays model, because the CRAs have an incentive to assign inflated ratings since they are paid by the issuers and desire more revenues from their customers. The second one is the highly concentrated market structure of credit rating industry, which makes the "BIG Three" global ones--S&P, Moody's, and Fitch too powerful. A broad consensus exists among policy makers and regulators around the potential benefits of increasing competition among CRAs. Nevertheless, competition among CRAs facilitates issuer's ratings shopping by issuers and results in excessively high reported ratings. This paper combines above two key features of credit rating industry--conflict of interest and rating shopping, and builds an equilibrium game model involving of CRAs, issuers, regulators and investors. Besides, by focusing on CRAs and regulators, this paper analyzes each participant’s equilibrium decisions under truth-telling and opportunistic situations. Furthermore, rating accuracy and market profits are considered respectively when the rating market is a monopoly, duopoly or competitive one. Last but most important, this paper proposes a new kind of organizational structure--"Rating Network Structure", and investigates if rating network structure is a valid reform measure in rating industry. Through the equilibrium game model's proof, this paper proves that rating network structure could increase rating accuracy and market profits under any circumstances (monopolic or competitive, truth-telling or opportunistic), without changes of business model and market structure. In addition, this paper reveals some features of credit rating industry. For instance, higher competition among CRAs corresponds with lower rating accuracy, but results in more market profits when reputation cost is low; truth-telling rating markets dominate opportunistic rating markets in any aspects. This paper is composed of five chapters. The 1st chapter is about the background, significance, research contents, methods and innovation of this paper. The 2nd chapter is the review of related research at home and abroad. Chapter 3 analyzes the mechanism of conflict of interest and rating shopping. Chapter 4 builds the equilibrium game model under monopoly, duopoly and competitive rating markets when CRA is truth-telling or opportunistic, then proposes rating network structure and makes a comparative static analysis. The final chapter is the conclusion of the whole paper.
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