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| Title: | 外部信用評等變動分析與應用: 金融風暴與新冠疫情之比較
Analysis of External Credit Rating Changes: Comparison of the Financial Crisis in 2008 and the Covid-19 |
| Authors: | 李玲
Lee, Ling |
| Contributors: | 呂桔誠
林士貴
Lyu, Joseph Jye-Cherng
Lin, Shih-Kuei
李玲
Lee, Ling |
| Keywords: | 信用評等變化
經濟衰退
金融風暴
COVID-19
Spearman等級相關係數
Kendall等級相關係數
Credit rating change
Economic recession
Financial crisis
COVID-19
Spearman`s rank correlation coefficient
Kendall’s rank correlation coefficient |
| Date: | 2022 |
| Issue Date: | 2022-03-01 16:53:43 (UTC+8) |
| Abstract: | 在2008年金融風暴過後，各界對於信用評等有相當多的討論以及批判，但是信用評等仍作為大多金融機構風險管理與決策之重要基礎，因此確認信用評等於極端事件下對授信風險的反應狀況，為金融機構在風險管理的重要議題之一。本研究透過比較金融極端事件時期（金融風暴時期以及新冠肺炎時期）以及正常景氣時期，並且利用等級相關係數進行分析，探討不同信評機構升降等比例與幅度是否近似，以及是否會隨景氣改變。實證結果顯示，在面對景氣下行時，評等機構給予評等的相關性會提高，也具有整體調降的趨勢，並且不易於景氣恢復時升回原等級。此外，當企業同時持有三大評等機構之評等時，評等機構所給予之評等會收斂於近似等級。同時也觀察到新冠肺炎時期所受到的衝擊並未若金融風暴時期來的劇烈，推測原因之一可能為政府所採取的量化寬鬆政策有助於減緩經濟下行及債務違約的風險。
After the financial crisis in 2008, there has been a lot of discussion and criticism on credit ratings. However, credit ratings still serve as an important basis for risk management and decision making for most financial institutions. Therefore, it is an important issue for financial institutions to be able to identify their credit risk even during extreme events. In this study, the rating migration and rank correlation coefficients were used to compare the periods of extreme financial events (financial crisis in 2008 and COVID-19) with the periods of regular economic conditions, and to investigate whether the upgrade and downgrade could be consistent with the changes in economic conditions. The empirical results show that the correlation between the ratings given by the rating agencies increases in the face of a downturn. There is also a tendency for overall downgrades, and it is difficult to return to the previous rating when the downturn recovers. In addition, when an enterprise holds the ratings of the three major rating agencies at the same time, the ratings given by the rating agencies will converge to a similar grade. The empirical results show that the impact during the COVID-19 period was not as severe compared to the period during the financial crisis, and we suggest that the quantitative easing policy adopted by the government helped to mitigate the risk of economic downturn and debt default. |
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| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
108932128 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108932128 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200160 |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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