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明明要加油 · 2023年09月07日

请问老师题干的含义

NO.PZ2018123101000107

问题如下:

Cromwell works with another analyst, George Hastings, to discuss credit scoring and credit rating models. Hastings starts the conversation by saying, “Credit scoring models are primarily applied to consumers or small business borrowers. In some cases, only negative information, such as delinquencies or defaults, are used, while other models use a mix of factors, such as payment history and recent credit searches.” The focus of credit scores is the probability of default. Hastings continues, “Credit ratings, on the other hand, are used in the corporate and sovereign bond market and also for asset-backed securities. Ratings are focused on probability of default. Credit rating agencies, such as Standard & Poor’s, consider the loss given default by means of notching, which adjusts the issuer rating to reflect the priority of claims in the capital structure."

Are Hastings’s comments regarding credit scores and credit ratings most likely correct?

选项:

A.

Yes

B.

No, he is incorrect with regard to credit scores.

C.

No, he is incorrect with regard to credit ratings.

解释:

Hastings’s comments regarding both credit scores and credit ratings are correct.

第一个问题: consider the loss given default by means of notching,这句话啥意思呢?


第二个问题:which adjusts the issuer rating to reflect the priority of claims in the capital structure,这句话,调整发行人评级为什么可以反应资本市场的求偿顺序呢? 求偿顺序不是根据产品属性来的么,比如先是兑付优先债、然后兑付次级债,这个和评级没关系吧。不理解。

1 个答案
已采纳答案

pzqa31 · 2023年09月11日

嗨,从没放弃的小努力你好:


1.主体的credit rating只focus on POD,不同信用评级代表不同主体的违约概率,即使相同评级的发行人,虽然POD相同,但是LGD也不一定相同,因为LGD取决于债务顺序以及recovery rate等因素。

notching是对主体评级与对债项评级不同的现象,一般情况下,债项评级是在主体评级上做一定的调整,notching同时考虑POD和LGD。


2.这句话的意思是:标准普尔(Standard & Poor 's)等信用评级机构通过评级方式来考虑违约造成的损失,从而调整发行者评级,以反映债权在资本结构中的优先求偿顺序。在违约的时候,优先赔付评级高的债券。同学你说的是债项评级,一般优先次级适用于ABS,这里说的是主体评级。

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努力的时光都是限量版,加油!

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