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    题名: 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
    作者: 李玲
    Lee, Ling
    贡献者: 呂桔誠
    林士貴
    Lyu, Joseph Jye-Cherng
    Lin, Shih-Kuei
    李玲
    Lee, Ling
    关键词: 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
    日期: 2022
    上传时间: 2022-03-01 16:53:43 (UTC+8)
    摘要: 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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    5. Altman, E. (2020), Covid-19 and the credit cycle, Journal of Credit Risk, 16(2), 1-28.
    6. Amato, J. D., & Furfine, C. H. (2004). Are credit ratings procyclical? Journal of Banking & Finance, 28(11), 2641-2677.
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    9. Bellot, N.J, Martí Selva, M.L and Menendez, L.G (2017). Herding behavior among credit rating agencies, Journal of Finance & Economics Research, 2(1), 59-86.
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    11. Benmelech, B. and Tzur-Ilan, N. (2020). The determinants of fiscal and monetary policies during the COVID-19 crisis. National Bureau of Economic Research (NBER).
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    https://www.fitchratings.com/research/banks/global-corporate-finance-2020-transition-default-study-22-07-2021
    13. Dodd-Frank Act Stress Test Publications: 2021 Stress Test Scenarios, Retrieved February 2021. Retrieved from https://www.federalreserve.gov/publications/stress-test-scenarios-february-2021.htm
    14. Efstathia Koulouridi, Sameer Kumar, Luis Nario, Theo Pepanides, and Marco Vettori (2020). Managing and monitoring credit risk after COVID-19 pandemic, Retrieved from https://www.mckinsey.com/business-functions/risk/our-insights/managing-and-monitoring-credit-risk-after-the-covid-19-pandemic
    15. Eijffinger, S.C. (2012). Rating agencies: role and influence of their sovereign credit risk assessment in the Eurozone. Journal of Common Market Studies, 50 (6), 912-921.
    16. Fulghieri, P., Strobl, G. and Xia,H. (2010). The economics of solicited and unsolicited credit ratings. The Review of Financial Studies, 27(2), 484-518.
    17. Gonzalez, F., Haas, F., Persson, M., Toledo, L., Violi, R., Wieland, M., & Zins, C. (2004). Market dynamics associated with credit ratings: a literature review. ECB Occasional Paper, (16).
    18. Hau, H., Langfield, S. and Marques-Ibanez, D. (2012). Bank Ratings: What Determines Their Quality. European Central Bank Working Paper Series. (1484)
    19. Herpfer, C. and Maturana, G. (2021), Who Prices Credit Rating Inflation? July 2021, Available at SSRN: https://ssrn.com/abstract=3579030
    20. Hilscher, J. and Wilson, M. (2017), Credit ratings and credit risk: is one measure enough?, Management Science, 63(10), 3414-3437.
    21. Huong, D. and Graham, P. (2014), Rating migrations: the effect of history and time, Abacus (Sydney), 50 (2), 174-202.
    22. Jang, B. G., Rhee, Y., & Yoon, J. H. (2016). Business cycle and credit risk modeling with jump risks. Journal of Empirical Finance, 39, 15-36.
    23. Kraemer N.W. (2020). 2020 Annual global corporate default and rating transition study. Retrieved from: https://www.spglobal.com/ratings/en/research/articles/210407-default-transition-and-recovery-2020-annual-global-corporate-default-and-rating-transition-study-11900573
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    描述: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    108932128
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0108932128
    数据类型: thesis
    DOI: 10.6814/NCCU202200160
    显示于类别:[經營管理碩士學程EMBA] 學位論文

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