市政债券保险保费、信用评级和潜在信用风险

IF 0.9 Q4 PUBLIC ADMINISTRATION

Public Budgeting and Finance Pub Date : 2012-03-01 DOI:10.1111/J.1540-5850.2011.01005.X

Gao Liu

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引用次数: 13

摘要

本文探讨了债券保险公司是否能够充分评估被保险债券的信用风险，这个问题的答案将决定市政债券保险的未来。本文以参保的市政债券为样本进行研究，以确定债券保费是否可以预测未来信用评级的转变，这是债券信用风险的代理。结果表明，以债券信用等级等解释变量为条件的市政债券保费对信用等级下调有解释力，但对信用等级上调没有解释力。因此，债券保险费传达了债券发行潜在信用风险的额外信息，而不是原始信用评级所揭示的信息。这项研究还提供了证据，表明评级机构可能没有做得像他们可能做的那样好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Municipal Bond Insurance Premium, Credit Rating, and Underlying Credit Risk

This article explores the question of whether bond insurers are able to sufficiently evaluate the credit risk of insured bonds, the answer to which would determine the future of municipal bond insurance. A sample of insured municipal bonds is investigated to determine whether bond insurance premia can predict the future credit rating transition, the proxy for bond credit risk. The results show that municipal bond insurance premia, conditional on bond credit ratings and other explanatory variables, have explanatory power over credit rating downgrades but not over upgrades. As such, bond insurance premia convey extra information about the underlying credit risk of a bond issue than the original credit rating reveals. This research also provides evidence that the rating agencies might not be doing as a good job as they could potentially do.

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来源期刊

Public Budgeting and Finance PUBLIC ADMINISTRATION-

CiteScore

2.10

自引率

14.30%

发文量

期刊介绍： Public Budgeting & Finance serves as a forum for the communication of research and experiences on all facets of government finance and provides meaningful exchange between research from universities, private and nonprofit research institutes, practitioners in public financial markets, government agencies, and the experience of those who practice government budgeting and finance. Researchers, practitioners, and teachers of applied government finance turn to Public Budgeting & Finance to find understandable, reliable, and thoughtful analysis of issues important in the field. The content of the journal spans the spectrum of budget process and policy and financial management, is never limited to one level of government or even to one country, and always even-handedly crosses disciplines and approaches in applied government finance.