商业信用评级的难题和困境

1、Issues and Difficult Situation商业信用评级的难题和困境What is a Credit Risk? 什么是信用评级Two Types of Credit Ratings 两类评级Obligor Ratings for assessing borrowers default riskIssuer ratingSenior unsecured ratingProbability of Default (PD) RatingFacility Ratings for assessing collateral quality and SeniorityRecovery ri

2、sk ratingLoss Given Default (LGD) ratingBond ratings are often LGD ratingWe only discuss Obligor RatingsWho Are The Players/Participants? 有哪些参与者？Agency Ratings 专职评定机构Moodys/S&P/Fitch/FICO大公国际，中诚信国际等Banks Internal Risk Ratings 各家银行around 20 grades Academic Researchers 学术研究Structural Models, other mod

3、elsRegulators and Regulations 政府监管和法规Especially after financial crisisCredit Risk Analysts and Managers 信用风险管理者和使用者PractitionersMain Issues in Existing Credit Rating Approaches现今信用评级中存在的主要问题Five Major Participants 5方参与者Each use its own definitions, interpretations and methodologies 每一方的定义，理解，和方法都不一样

4、Difficult to completely translate/convert outcomes between them各方的结果不能很好地转换We know there are differences among them, but we do not have realizable methods to measure their differences 我们知道他们之间有很多不同，但是没有可靠的方法去测量这些不同Regulations are changing rapidly, we do not understand or incorporate regulatory impac

5、ts on credit ratings 监管的要求在飞速的改变，我们没有纳入法规对评级的影响。There are many vague concepts that needs rigorous mathematical descriptions 有很多含糊不清的概念需要严谨的数学定义Issues with Agency Ratings信用评级机构的主要问题Alphabetical ratings using 20+ grades. Their rating processes are complex and often lack of transparency.复杂而不透明Do rating

6、 agencies apply rating standards consistently, especially before and after the financial crisis?评级是否一致？特别是金融危机之前和之后的一致性，评级机构支付了巨额罚款How to keep rating consistency across time, products and jurisdictions?如何保证评级对于不同时间，产品，和地区的一致性Historical statistics show that the yearly default probabilities for the sa

7、me agency ratings varied significantly. In fact, after the financial crisis, Moodys and S&P had to pay billions of dollars of penalties to settle allegations over potential rating biases in mortgage securities. 历史违约率数据变化极大Issues with Banks Ratings银行信用评级的主要问题Bank ratings are similar to rating agencie

8、s. But the methodologies are quite transparent,过程复杂但方法透明Combinations of quantitative rank-ordering and qualitative scoring方法是定量的排序加定性的打分There is a critical process called “Rating Calibration” in which banks (internal) ratings are “mapped” into (external) agency ratings:最关键评级“校对”流程to be able to conve

9、rt internal ratings to external ratings; to benchmark rating accuracy; to accurately pricing credit products. Rating conversion between different banks is a big issue. 转换不同银行之间的评级是个大问题Most banks use PD as a measure for rating conversion.依据违约率大小来转换评级Can we equate credit rating with PD?评级是否等同于违约率？Cred

10、it ratings could fluctuate significantly. Should the credit rating of an obligor be consistent across time until credit quality changes materially评级变动幅度大The PD of an obligor can either be Through-The-Cycle (TTC) or Point-In-Time (PIT). What is the exact relationship between TTC PD and Time-PIT PD?还有

11、所谓的TTC和PIT评级之分Can we easily compare and convert these ratings?如何在它们之间转换？Issues with Some Academic Researches信用评级学术研究的一些问题Often emphasize on theorizing the credit default process, less on rating deterioration and migrations 多数是违约过程研究，评级的恶化理论研究不多Use market information to calibrate models, the PDs are

12、essentially “Point-In-Time” (PIT).用市场数据建模，本质上是PIDDifficult for banks to implement when the borrowers are not public traded 银行很难得到所需的数据Most banks customers are private firms银行客户多数不是上市公司to obtain a Through-The-Cycle credit rating from a PIT PD?to benchmark rating accuracy?to accurately pricing credit

13、products?Consistency across time is a big issue 评级一致性是个大问题。Can the credit rating be independent of “Risk Neutral PD”?风险中性PDCan they be invariant under Girsanov transformation?独立于Girsanov定理Can popular risk measures such as Distance-to-Default be functions of credit ratings? 许多风险度量都可以成为依赖于评级的函数Does “H

14、istorical Average PD” Exist? 比如历史平均违约率的存在性就是个大问题Issues with Regulators政府监管的问题Allowance requirement drives credit rating behavior (PD).贷款损失储备金要求Does capital requirement also drive credit rating behavior?贷款资本率要求会不会对评级有影响？What about trade-offs between these two requirements这两个要求之间的关联和互换性Procyclical vs.

15、 Counter-cyclical 比如，顺周期和反周期要求Short-term vs. Long-term 比如，短期和长期利益要求Expected vs. Unexpected比如，预期的和波动的Can regulators have a quantitative tool for measuring regulatory impacts?监管者能否有一个量化工具来衡量这些政策影响？Issues with Credit Risk Managers信用风险管理人员的问题Each participant provides credit ratings based on this partici

16、pants understanding, standards, methodology and data for credit risk.每一方的定义，标准，方法都不一定相同How do we know if all participants use the exact same definition and the same risk drivers? In other words, Can we find and measure the rating difference between different rating systems, say, Moodys and S&Ps rati

17、ngs？ 能不能知道和度量不同的评级，比如Moodys和S&P，之间的区别？Can we have a unified theoretical framework so that all approaches and factors used by all participants can be incorporated.能不能有一个统一的框架来处理所有的评级和转换？Can all ratings from all participants be produced and compared using a single approach? 能不能有一个统一的办法来得到所有不同的评级？A new

18、 theory that can solve all these issues有一个新理论可以解决所有提到的问题A comprehensive theory that can address all the issues discussed early.一个完整的理论使得前面提到的所有问题都能有解答Rigorous mathematical definitions for all concepts and factors所有的概念都有严谨的数学定义Unified approach/framework for all participants. In particular, all existing ratings can be produced under the same approach现今所有的评级都可以用同一个框架产生Exact measurement for differences between various rating systems不同的评级系统的区别可以精准描述Ratings are Time-Consistent