系统管理学报

系统管理学报 ›› 2020, Vol. 29 ›› Issue (5): 905-914.DOI: 10.3969/j.issn.1005-2542.2020.05.008

• 公司金融 • 上一篇    下一篇

基于Markov-评级选购双声誉模型的评级机构串谋激励约束机制

周香芸，田益祥   

  1. 电子科技大学 经济与管理学院，成都 611731
  • 出版日期:2020-09-29 发布日期:2020-10-26
  • 作者简介:周香芸（1991-），女，博士生。研究方向为信用风险与评级监管。
  • 基金资助:
    国家社会科学基金资助项目（14BJY174）；四川省学术带头人和技术带头人项目（Y02028023601044）

Incentive and Restraint Mechanisms of Collusion in Rating Agencies Based on Markov-Dual Reputation Rating Shopping Model

ZHOU Xiangyun, TIAN Yixiang   

  1. University of Electronic Science and Technology of China, College of Economics and Management, Chengdu 611731, China
  • Online:2020-09-29 Published:2020-10-26

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摘要：

引入经济状态转移极限概率矩阵和双重声誉效应，改进评级选购博弈模型，构建马尔科夫-评级选购双声誉模型，分析双评级激励机制和约束机制解决评级机构串谋问题的适用条件。最后，运用数值分析和仿真进行验证。得出：当声誉效应满足一定条件时，双评级激励机制能预防评级“虚高”和“以级定费”串谋；经济发展状态分离下，约束机制能更有效地防止评级机构串谋和降低监管成本。

关键词: 评级机构, 串谋, 马尔科夫-评级选购双声誉模型, 双评级激励机制, 约束机制

Abstract:

This paper introduces the transition limiting probability matrixes of economic states and the dual reputation to improve the rating shopping game model. It builds a Markov-dual reputation rating shopping model to analyze the conditions of the dual rating incentive mechanism and the constraint mechanism for preventing the collusion among rating agencies. Based on the numerical analysis and the simulations, it concludes that when the reputation effect is in certain conditions, the dual rating incentive mechanism can prevent inflated ratings and higher rating fees. In the state of economic development separation, the constraint mechanism is more effective in preventing the collusion among rating agencies and reducing the regulatory cost.

Key words: rating agencies, collusion, Markov-dual reputation rating shopping model, dual rating incentive mechanism, retraint mechanism

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