기업 신용평가사의 문제점과 향후 과제 (The Credit Rating Agencies : Causes of Failures and their Remedies)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 26권 / 3호 / 191 ~ 220페이지
· 저자명 : 여은정

초록

금번 글로벌 금융위기의 상당 부분은 서브프라임 모기지 기반 자산과 이를 발행한 회사에 대한비정상적으로 부풀려진 신용평가에 기인하고 있다고 해도 과언이 아니다. 따라서 정확한 신용평가와 이를 위한 제반의 정책과제는 전반적인 금융산업의 효율성과 안정성 제고에 중요한과제라고 할 수 있다. 본 논문에서는 기업 신용평가사의 현황 및 문제점을 파악하고 향후 바람직한정책에 필요한 과제를 제시하고자 한다. 국내 신용평가시장을 살펴본 결과 국내 신용평가 3사가글로벌 3사에 비해 과점적인 시장구조로 인해 초과 이윤을 누리고 있다고 보기 어려운 반면,신용평가시장에서 등급 부풀리기 현상의 가능성은 배제하기 어려운 것으로 나타났다. 이는국제적으로 합의된 신용평가사에 대한 규제방안을 우리나라 상황에 맞게 법제화하여 추진하는동시에 현행 복수평가제 유지 및 신용평가사의 주기적 교체 등을 통해 현재 신용평가산업의경쟁력을 강화시키는 방향으로 유도해 나갈 필요가 있다는 점을 시사한다.

영어초록

Undoubtedly, credit information mitigates information asymmetry for financial transactions amongst financial market participants. Based on the credit information, evaluation made by a credit rating agency of the debt issuer’s ability to pay back the debt is the key concept of credit ratings.
The global financial crisis of 2007~2008 has called attention to the causes of ratings failures and the conflicts of interest in the credit ratings industry. For example, Mason and Rosner (2007) show that the big three ratings agencies are often confronted with an array of conflicting incentives,which can affect choices in subjective measurements of risk. They also analyze the fundamental differences in rating structured finance products vs. traditional products; the resulting inefficiencies of rating structured finance products cause investors to discredit U.S. markets. Therefore,accurate ratings and supporting policy measures are necessary to achieve efficiency and stability of the financial industry.
Underlying fundamental causes for these rating failures are suspected to be the rating inflations mainly caused by the issuer-pay system as noted by a number of researchers. If issuers can easily switch to other rating agencies and shop for the best ratings, any rational rating agency has incentives to assign ratings favorable to issuers. Thus issuer-pay system is mainly blamed for rating failures. However, Skreta and Veldkamp (2009)argue that more important cause is not the fee system but the complexity of securities rated, which facilitates rating shopping.
Interestingly, there is no consensus yet regarding the effect of competition on the credit rating industry. Recent studies lend a greater support to the negative effect of competition than to the positive effect of it. Most of the positive effect of competition is based on the argument that basic industrial economics predicts tacit collusion between the incumbents, leading to a high price equilibrium (Dittrich, 2007). White (2009) also points out that due to legislation of NRSRO competition is highly limited in the credit rating industry.
On the contrary, the negative effect of competition is based on the argument that competition aggravates rating inflations (Skreta and Veldkamp,2009; Camanho et al., 2010). More recently, Bolton et al. (2012) show that competition can reduce efficiency, as it encourages ratings shopping.
Similarly, Becker and Milbourn (2011) find that competition leads to lower quality in the ratings market. Using data of the collapse of the credit ratings of ABS CDOs, Benmelech and Dlugosz (2010) argue that tranches rated solely by one agency, and by S&P in particular, were more likely to be downgraded by January 2008 and tranches rated solely by one agency are more likely to suffer more severe downgrades. This study implies that mandatory multiple ratings are helpful in mitigating rating inflation problem.
We analyze causes of ratings failures such as rating inflations and other problems arising from the oligopolistic market structure of the Korean credit rating industry. We find that the three big credit rating agencies in Korea seem to enjoy a high degree of oligopolistic market power at the first glance. However, compared to the global rating agencies, some qualifications seem necessary. It is mainly based on the fact that the Korean credit rating agencies have similar business models and thus similar market shares, so that they are less specialized and small compared to the global rating agencies. We also provide some evidence of rating inflations caused by Korean rating agencies although the most of the financial products are simple to be evaluated in Korea.
Our main results imply that globally recommended regulatory measures should be adapted with some modification to the credit rating industry in Korea and the competitiveness of the industry should be strengthened through, for example, maintaining the requirement of multiple credit ratings,and introducing a forced rotation of credit rating agencies. They also imply that issuers’ disclosure regarding the underlying asset pools of structured finance products is expected to help investors to make their own credit risk assessment, rather than leaving them to rely solely on external ratings.

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