韓國開發硏究제 33 권제 2 호 ( 통권제 111 호 ) 신용평가기능개선을위한과제 조성빈 ( 한국개발연구원연구위원 ) Restoring the Role of Credit Rating Agencies as Gatekeepers CHO, Sungbin (Research F

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1 韓國開發硏究제 33 권제 2 호 ( 통권제 111 호 ) 신용평가기능개선을위한과제 조성빈 ( 한국개발연구원연구위원 ) Restoring the Role of Credit Rating Agencies as Gatekeepers CHO, Sungbin (Research Fellow, Korea Development Institute) * 본논문은기발간된 금융산업과규제의새로운패러다임정립 ( 연구보고서 , 한국개발연구원, 2010) 중필자가수행한제 7 장 신용평가기능개선을위한과제 를수정 보완한것임을밝힌다. ** 조성빈 : ( ) scho@kdi.re.kr, (address) Korea Development Institute, 49 Hoegiro, Dongdaemun-gu, Seoul, Korea Key Word: (Credit Rating Agencies), (Moral Hazard), (Competition), (Reputation), (Regulation) JEL Code: D82, G24, G28, L15 Received: Referee Process Started: Referee Reports Completed:

2 ABSTRACT Credit rating agencies(cras) are accused of failing to provide accurate and fair credit ratings and hence being responsible for the crisis. This paper tries to add on to the literature on credit rating reform through examining the CRAs in a model where rating quality is unobservable. We show that unobservability of rating effort results in the sub-optimal level of quality. Then the paper extends the model to incorporate ancillary services, competition and reputation. We show that ancillary services worsen the conflict of interests of the CRAs and that competition and reputation may not be strong enough to discipline the CRAs. Hence regulatory oversight and imposition of liability may be necessary in order to increase the accuracy of ratings.

3 신용평가기능개선을위한과제 83 Ⅰ. 서론 (creditworthiness) (default risk).,. (Information Asymmetry) (missing market). 1). 3 (Moody s, S&P, Fitch) (capital adequacy ratio)..,,. 2) Enron WorldCom SEC Gatekeeper 3) Credit Ratings Agency Reform Act of ) Berger et al.(2000), Dichev and Piotroski(2001), Jorion and Zhang(2007). 2) Partnoy(1999, 2001, 2006, 2009) (mal-functioning).

4 84 韓國開發硏究 / Ⅱ. 4),. 5). (hidden action model)... Enron proxy statement. 6). (structured products) (ancillary services). Crockett et al. (2004) Partnoy(2006)., (bias) 3) Gatekeeper (certification) (verification). Coffee(2004). 4) BIS(2005, 2008) IOSCO(2008). 5) Acharya and Richardson(2009), CCMR(2009), Dewatripont, Frexias, and Portes(2009), NYU Stern Working Group(2009) Frexias and Shapiro(2009). 6) Enron Joseph Lieberman. The credit-rating agencies were dismally lax in their coverage of Enron. They didn't ask probing questions and generally accepted at face value whatever Enron's officials chose to tell them. And while they claim to rely primarily on public filings with the SEC, analysts from Standard and Poor's did not read Enron's proxy statement, they didn t even know what information it might contain. Senate Committee on Governmental Affairs, press release, Financial Oversight of Enron: The SEC and Private-Sector Watchdogs (October 8, 2002). Partnoy(2006).

5 신용평가기능개선을위한과제 85. This conflict of interest deepened with the rise of complex structured financial products. The credit ratings agencies not only rate these instruments, but also offer the issuer help in constructing the product in order to obtain a certain rating. Over the past few years, this has become a lucrative business for the ratings agencies (for example, structured finance deals accounted for 40% of Moody s total revenue last year), calling into question the objectivity of ratings that are critical to the proper functioning of the market. Conflicts and the Credit Crunch By ARTHUR LEVITT JR., The Wall Street Journal, September 7, 2007, Page A15..,.. Gatekeeper.,. 7).,., (legal liability).. 관련연구 ) Millon and Thakor(1985), Boot et al.(2006) Bannier and Tyrell(2006). Millon and Thakor(1985) (screening) 7). (2004). 8) 1937 Louis Tappan, 1909 John Moody.

6 86 韓國開發硏究 / Ⅱ (information sharing), Boot et al.(2006) (coordination mechanism)., Bannier and Tyrell (2006) (aggregate information precision).. Lizzeri(1999) (strategic disclosure of information).. Lizzeri(1999). (rating shopping) (rating inflation). Bolton et al. (2009), (signaling game) (rating inflation) Cuomo plan., (naive investor),. (upfront payments) (indicative ratings). Sangiorgi et al.(2009) (potential winner s curse),. Skreta and Veldkamp(2009),

7 신용평가기능개선을위한과제 87. issuer pay model investor pay model. 9),. Kuhner (2001), Mathis et al.(2008) Stolper (2009). Kuhner(2001) (ex post) (selffullfilling). Mathis et al.(2008),. platform-play model,. 10)11) Stolper(2009)..,,. Ⅱ. 기본모형 1. 모형 9) issuer pay model, investor pay model. 10) Acharya and Richardson(2009). Dodd-Frank Credit Rating Agency Board. 11) Dodd-Frank.

8 88 韓國開發硏究 / Ⅱ. (risk-neutral).,,.. (debt market), (required rate of return) 0. G(good type firm, ), B(bad type firm, ). G, B (, ). ( ) B (recovery value) 0. 12) G 0. G B., 0.. G (Net Present Value: NPV), B. G B G, B., (ex ante).., 0. 12).

9 신용평가기능개선을위한과제 89 I (face value),, G ( ). G. G,. G B... G B., (signal). G, B. 13)14) P r P r ( (rating procedure) )., ) Dye(1993) Pagano and Immordino(2007). 14),.

10 90 韓國開發硏究 / Ⅱ (convex).. 15), lim, lim, (contractible) (implement)... Mathis et al.(2008)., (, ),. 16)17) Bolton et al.(2009) ( The SEC found that senior analytical managers and supervisors participated in fee discussions with issuers. )... G, B.. (Perfect Bayesian Equilibrium) Bayes rule (posterior beliefs). (Time Line). 1. ( ), ). 16). a b. 17) (-)., (participation constraint).

11 신용평가기능개선을위한과제 ( ). 2. 분석가. 신용평가의가치와사회적최적. 18), (truthful rating report). 19).,.. G., 18). 19) Truthful rating report.,. G B (information value). (appropriate)..

12 92 韓國開發硏究 / Ⅱ,. ( ). i f,.. i f i f,,.. G B., G,. G.,. G. (social welfare) 1. i f

13 신용평가기능개선을위한과제 93 (an interior solution)... 20) (1),.. ( )..,. 나. 신용평가회사의의사결정, (the secondbest level of effort) 1. 21) (2),. (1) (2). B. (2) ( ). 1,. 20) 17) max V s.t. V 0. 21),.

14 94 韓國開發硏究 / Ⅱ. 1: (Rating Inflation). ( ) G ( ). Cuomo plan,. Ⅲ. 모형의확장 (marginal contribution). 22)23). (rating inflation) ( ) ( ). Remark: (New York Attorney General) Andrew Cuomo 3 (S&P, Moody s and Fitch) Cuomo plan (rating inflation) (up-front payment). 1. 부가서비스와이해상충 [Figure 1] Fitch (2007), % AAA, 60% AAA.., MBS [Figure 2] AAA (CDS) %. 22) Makowski and Ostroy(2001). 23).

15 신용평가기능개선을위한과제 95 [Figure 1] Rating Distribution Source: Fitch (2007).. (ancillary services). BIS(2005). [T]he fact that the agencies may have expressed an ex ante opinion regarding deal structure suggests that they are providing structuring advice. Therefore, the agencies may not be fully independent of the instruments for which they ultimately issue a rating. It has become common for rating agencies to offer special services relating to firms bond ratings, such as preand post-rating assessments of factors that could impact rating levels. These services may be separately rewarded and may thus exacerbate any potential conflicts of interest arising from issuer fees.

16 96 韓國開發硏究 / Ⅱ [Figure 2] Value of MBS securities as implied by the ABX indexes 24) Notes: The index is set at 100 on 1 January 2007 for all ratings. Source: Brunnermeier (2008).. 25),.,.. (economics of scope).. A.. 26) 24) ABX 20 (credit default swaps). 25) issuer pay model, (duration). Crockett et al.(2004) Partnoy(2006).

17 신용평가기능개선을위한과제 97 (3). (3) (3). (A). 27).. 2:., (design). 28) Enhanced Accountability and Transparency In Rating Agencies Act NRSRO. 29) 26) (3) ( ) R A.. (cost due to misallocation),. R,. R.,. 27).,. 28) IOSCO(2008) (IOSCO CRA Code of Conduct provisions 2.5).

18 98 韓國開發硏究 / Ⅱ 2. 경쟁 White(2002),. 30) (Moody s, S&P, and Fitch) NRSROs(Nationally Recognized Statistical Rating Organizations), 31) NRSRO %, % 3. 32) Partnoy(2006, 2009), NRSROs.. 33) Bolton et al.(2009) Skreta and Veldkamp(2009)..., (non-increasing function) 29) : (a) risk management advisory services, (b) advice or consultation relating to any mergers, sales, or disposition of assets of the issuer, (c) ancillary assistance, advice or consulting services unrelated to any specific credit rating issuance, (d) such further activities or services as the Commission(SEC) may determine as necessary or appropriate in the public interest or for the protection of investors. 30) Moody s, S&P, and Fitch (branch offices) ~3. 31) NRSRO, SEC SEC (Division of Market Regulation). (2004). 32) SEC NRSRO 10, SEC(2008, 2009). 33) 2006 Committee on Banking, Housing, and Urban Affairs ICI (Investment Company Institute) Paul Schott Stevens. I firmly believe that robust competition for the credit rating industry is the best way to promote the continued integrity and reliability of their ratings. Unfortunately, the current designation process does not promote but, in fact, creates a barrier to-competition. SEC Cynthia Glassman 1975 NRSROs Kafkaesque.

19 신용평가기능개선을위한과제 , (4) (4),. 34)35) 3: ( )..,. Becker and Milbourn(2009, 2010)., Fitch,, (market-implied yields),...., 34) Mankiw and Whinston(1986) (business stealing effect). 35).

20 100 韓國開發硏究 / Ⅱ. 3. 평판 (Reputation). Cantor and Packer(1975) Smith and Walter(2002),. 36) Moody s CEO Raymond McDaniel we are in a business where reputational capital is more important. 37), Moody s Thomas McGuire what s driving us is primarily the issue of preserving our track record. That's our bread and butter. 38).? Bolton et al.(2007, 2009). 39) Bolton et al.(2007, 2009). (continuation payoff). stage game...,. (concavity).,,.. 36). 37) Moody s, S&P Defer Cuts on AAA Subprime, Hiding Loss, Bloomberg News, March 11, ) Ratings Trouble, Institutional Investor, Oct )., (recursive structure) trigger strategy bootstrap equilibrium.

21 신용평가기능개선을위한과제 101 max 1. (5) (5) ( ). 3...,. 4. 규제와책임성부여 4:. Covitz and Harrison(2003) Becker and Milbourn(2009),..,.. Gatekeeper. (fair disclosure),. 40)41)42), 40) Dodd-Frank. 41). 42),

22 102 韓國開發硏究 / Ⅱ (civil and criminal liability).. Gatekeeper (fiduciary duties)., issuer pay model. 43),. 44). 45). 3.. (inspection).. 46). (limited liability constraint),.. 43) issuer-pay. 44) Smith and Walter(2002). Partnoy(2001) Smith and Walter(2002). 45) Coffee(2004) Partnoy(2004) (strict liability). 46),..

23 신용평가기능개선을위한과제 103,.. min (6) argmax (incentive compatibility constraint), (participation constraint),.. Scheme 1 max i f Scheme 2 max min Scheme 1, Scheme 2. Scheme 1. 5: Scheme 1 2

24 104 韓國開發硏究 / Ⅱ..,. ( ). 1:. Scheme 1, Scheme 2, Scheme 1. Scheme 2 Scheme 1. 6: Scheme 2.. 2: Scheme 2. Scheme 2 Scheme Ⅳ. 분석의종합및결론.,.

25 신용평가기능개선을위한과제 105,..,. Hörner(2002),..

26 106 韓國開發硏究 / Ⅱ 참고문헌,, ,, Acharya, V. V. and M. Richardson, Resotring Financial Stability: How to Repair a Failed System, John Wiley & Sons, Bannier, C. E. and M. Tyrell, Modelling the Role of Credit Rating Agencies Do They Spark off a Virtuous Circle? Working Paper, Becker, B. and T. Milbourn, Reputation and Competition: Evidence from the Credit Rating Industry, mimeo, Havard Business School, Becker, B. and T. Milbourn, How Did Increased Competition Affect Credit Ratings? mimeo, Havard Business School, Berger, A., S. Davies, and M. Flannery, Comparing Market and Supervisory Assessments of Bank Performance: Who Knows What When? Journal of Money, Credit and Banking 32(3), Part 2, 2000, pp.641~667. BIS, The Role of Ratings in Structured Finance: Issues and Implications, BIS, Ratings in Structured Finance: What Went Wrong and What Can be Done to Address Shortcomings? Bolton, P., X. Freixas, and J. Shapiro, Conflicts of Interest, Information Provision, and Competition in the Financial Services Industry, Journal of Financial Economics 85, 2007, pp.297~330. Bolton, P., X. Freixas, and J. Shapiro, The Credit Ratings Game, Working paper, Columbia Business School, Boot, A., T. Milbourn, and A. Schmeits, Credit Ratings as Coordinating Mechanisms, Review of Financial Studies 19, 2006, pp.81~118. Brunnermeier, M. K., Deciphering the Liquidity and Credit Crunch, Journal of Economic Perspectives 23(1), 2008, pp.77~100. Cantor, R., An Introduction to Recent Research on Credit Ratings, Journal of Banking and Finance, 28, 2004, pp.2565~2573. Cantor, R. and F. Packer, The Credit Rating Industry, Journal of Fixed Income 5(3), 1995, pp.10~34. CCMR(Committee on Capital Markets Regulation), The Global Financial Crisis: A Plan for Regulatory Reform, 2009.

27 신용평가기능개선을위한과제 107 Coffee Jr., J. C., Gatekeeper Failure and Reform: The Challenge of Fashioning Relevant Reforms, Boston University Law Review, Covitz, D. M. and A. Harrison, Testing Conflicts of Interest at Bond Ratings Agencies with Market Anticipation: Evidence that Reputation Incentives Dominate, Federal Reserve Board, Crockett, A., T. Harris, F. S. Mishkin, and E. White, Conflicts of Interest in the Financial Services Industry: What Should We Do About Them? Geneva Reports on the World Economy, Dewatripont, M., X. Frexias, and R. Portes, Macroeconomic Stability and Financial Regulation: Key Issues for the G20, CEPR, Dichev, I. and J. Piotroski, The Long-Run Stock Returns Following Bond Ratings Changes, Journal of Finance 56(1), 2001, pp.173~203. Dye, R. A., Auditing Standards, Legal Liability, and Auditor Wealth, Journal of Political Economy 101(5), 1993, pp.887~914. Fitch, Inside the Ratings: What Credit Ratings Mean, Frexias, X. and J. Shapiro, The Credit Rating Industry: Incentives, Shooping and Regulation, ( Hörner, J., Reputation and Competition, American Economic Review 92(3), 2002, pp.644~663. IOSCO, The Role of Credit Rating Agencies in Structured Finance Market, Jorion, P. and G. Zhang, Information Effects of Bond Rating Changes: The Role of the Rating Prior to the Announcement, Journal of Fixed Income 16, 2007, pp.45~59. Kuhner, C., Financial Rating Agencies: Are They Credible? Insights into the Reporting Incentives of Rating Agencies in Times of Enhanced Systemic Risk, Schmalenbach Business Review 5, 2001, pp.2~26. Lizzeri, A., Information Revelation and Certification Intermediaries, RAND Journal of Economics 30(2), 1999, pp.214~231. Makowski, L. and J. M. Ostroy, Perfect Competition and the Creativity of the Market, Journal of Economic Literature 39(2), 2001, pp.48~58. Mankiw, N. G. and M. D. Whinston, Free Entry and Social Inefficiency, RAND Journal of Economics 17(1), 1986, pp.479~535. Mathis, J., J. McAndrews, and J. C. Rochet, Rating the Raters: Are Reputation Concerns Powerful Enough to Discipline Rating Agencies? Journal of Monetary Economics 56, 2008, pp.657~674. Millon, M. H. and A. V. Thakor, Moral Hazard and Information Sharing: A Model of Financial Information Gathering Agencies, Journal of Finance 40(5), 1985, pp.1403~1422. NYU Stern Working Group, Real Time Solutions for Financial Reform, Pagano, M. and G. Immordino, Optimal Regulation of Auditing, CESifo Economic Studies, Vol. 53, 2007, pp.363~388. Partnoy, F., The Siskel and Ebert of Financial Markets?: Two Thumbs Down for the Credit Rating

28 108 韓國開發硏究 / Ⅱ Agencies, Washington University Law Quarterly 77(3), 1999, pp.619~712. Partnoy, F., The Paradox of Credit Ratings, in R. M. Levich, G. Majnoni, and C. Reinhart (eds.), Ratings, Rating Agencies and the Global Financial System, Boston: Kluwer Academic Publishers, Partnoy, F., Strict Liability for Gatekeepers: A Reply to Professor Coffee, Boston University Law Review, Partnoy, F., How and Why Credit Rating Agencies Are Not Like Other Gatekeepers, University of San Diego Legal Studies Research Paper Series, Research Paper, No , Partnoy, F., Rethinking Regulation of Credit Rating Agencies: An Institutional Investor Perspective, Sangiorgi, F., J. Sokobin, and C. Spatt, Credit-Rating Shopping, Selection and the Equilibrium Structure of Ratings, Working Paper, SEC, Annual Report on Nationally Recognized Statistical Rating Organizations, SEC, Annual Report on Nationally Recognized Statistical Rating Organizations, Skreta, L. and L. Veldkamp, Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation, Journal of Monetary Economics 56, 2009, pp.678~695. Smith, R. C. and I. Walter, Rating agencies: Is There an Agency Issue, in R. M. Levich, G. Majnoni, and C. Reinhart (eds.), Ratings, Rating Agencies and the Global Financial System, Boston: Kluwer Academic Publishers, Stolper, A., Regulation of Credit Rating Agencies, Journal of Banking & Finance 33, 2009, pp.1266~1273. White, L., The Credit Rating Industry: An Industrial Organization Analysis, in R. M. Levich, G. Majnoni, and C. Reinhart (eds.), Ratings, Rating Agencies and the Global Financial System, Boston: Kluwer Academic Publishers, 2002.

29 부록 1: 증명 5 : (i) ( ).... (ii).. 6 : (schedule). 부록 2: 신용평가회사의신호공개 (Disclosure), ( ),.

30 110 韓國開發硏究 / Ⅱ,.....,..,., (posterior belief).

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노동경제논집 38권 4호 (전체).hwp * FA. FA FA. (2013) FA. (separating equilibrium),. (pooling equilibrium)..,. (Free agency, FA). (Reserve clause) : 2015 9 16, : 2015 11 13, : 2015 12 7 *. ** Department of Economics, University of Texas