結構型財務與信用評等：連續時間道德風險模型

Abstract

本論文是在連續時間道德風險模型下分析結構型財務對underwriting業務所造成的影響，我們的研究顯示提高證券化會使得underwriting標準降低，進而導致信用品質降低，許多投資人根據信用評等做投資並且偏好高評等的證券，然而信用評等並沒有辦法反映證券的風險特徵，因此為結構型財務創造了套利機會，這進一步助長了結構型財務並且降低了證券發行者挑選優質金融資產的誘因。

We analyze the impact of structured finance on underwriting practices in a continuous-time moral hazard model. We show that increased securitization may decrease underwriting standards, and hence lead to a decline in credit quality. Many investors base their investment decisions on credit ratings and are attracted to highly-rated securities. Nevertheless, the failure of ratings to reflect the systematic risk characteristics of securities creates arbitrage opportunities from pooling and tranching. This consequently encourages structured finance activities and adversely affects screening incentives of underwriters.