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    題名: 信用評等機構於證券化之角色與責任 ——次貸危機後之觀察
    其他題名: The Role and Responsibility of Credit Rating Agencies in Securitization: From the Perspective of the Subprime Mortgage Crisis
    作者: 邱天一
    Chiu, Tien-I
    關鍵詞: 資產證券化;信用評等;信用評等機構;次貸危機;次級房貸;市場守門員;新巴賽爾協定;架構式金融
    Asset Securitization;Credit Rating;Credit Rating Agencies;Subprime Mortgage Crisis;Subprime Mortgage;NRSRO;Gatekeepers;Basel II;Structured Finance
    日期: 2011-06
    上傳時間: 2016-05-20 16:37:27 (UTC+8)
    摘要: 二○○七年下半年美國次級房貸危機開始延燒,進而導致二○○八年之全球金融危機,全球經濟大幅衰退。形成次貸危機之原因眾多,其中資產證券化與信用評等機構,普遍被認為均應為次貸危機負責,因前者將次級房貸此「有毒資產」之風險,以「創始到銷售」模式,藉由創始及銷售RMBS與CDO等證券化商品,轉移到全球投資人,造成嗣後發生之「系統性危機」與「信用緊縮」等金融危機;而後者則低估證券化商品之信用風險,致評等失靈,且當市場情勢惡化時,未能即時向投資人發出警示,有失「市場守門員」之職責,致投資人對其信心動搖而聲譽受損,廣受各界批判與檢討。次貸危機期間,若干國際組織與管理者重新檢討信評機構於證券化之角色。二○○八年二月,歐洲證券管理委員會(CESR)發布「信評機構於架構式金融之角色」之諮詢文件;國際證券管理組織(IOSCO)發布「信評機構於架構式金融市場之角色」之研究報告;二○○八年七月,美國證管會(SEC)發布「特定信評機構調查報告」;二○○九年四月,二十國高峰會(G-20)「強化金融系統宣言」中,亦包括「對信用評等機構作更有效之監督」。\r次貸危機凸顯出信評機構在證券化過程中之諸多缺失,同時提供絕佳檢討之機會。本文擬先從介紹信用評等概念出發,進而分析證券化與信用評等之關聯,探討次貸危機中,信評機構於證券化評等失靈之原因,以及將來改進之動向,檢討信評機構於證券化之角色與責任,作為我國證券化信用評等以及信評機構管制之參考。
    Starting in the second half of 2007, the U.S. subprime mortgage crisis sparked and triggered widespread disruption of the global financial system in 2008, and the global economy suffered a great recession. The subprime mortgage crisis can be attributed to a number of causes, including securitization and credit rating agencies. Through an “origination to distribution” model, securitization transferred the risk of subprime mortgages, their “toxic assets”, to global investors, which triggered the subsequent global financial crisis characterized by “systemic crisis” and “credit crunch”. Credit rating agencies were blamed for underestimating the credit risk of securitization products, which led to wrongful credit rating. As one of the “gatekeepers” in the financial market, credit rating agencies failed to signalize warning to investors when the market situation deteriorated, resulting in the loss of investor confidence. Their “reputation capital” became impaired. During the subprime mortgage crisis, some international organizations and regulators reviewed the role and responsibility of credit rating agencies in structured finances. In February 2008, the Committee of European Securities Regulators (CESR) published a consultation paper entitled “The Role of Credit Rating Agencies in Structured Finance.” In May 2008, international Organization of Securities Commissions (IOSCO) published the report of “The Role of Credit Rating Agencies in the Structured Finance Market.” In July 2008, the U.S. SEC released “Summary Report of Issues Identified in the Commission Staff’s Examinations of Selected Credit Rating Agencies.” In April 2009, the G-20 stated it would impose “more effective oversight of the activities of Credit Rating Agencies” in its ”Declaration on Strengthening the Financial System.”\r The subprime mortgage crisis uncovered the flaws and misconduct of credit rating agencies and provided a good opportunity to review and improve them. The present essay attempts to find the causes why credit rating agencies made incorrect ratings in subprime mortgage securitization and analyzes the aforesaid proposal for improvement of international organizations or regulators. In this essay, we also review the role and responsibility of credit rating agencies in securitization, and make recommendations for regulating credit rating agencies in Taiwan.
    關聯: 法學評論, 121, 313-392
    資料類型: article
    顯示於類別:[法學評論 TSSCI] 期刊論文

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