Análisis del mercado del rating de las emisiones de titulación en España (1993-2011)

[ES] La calificación crediticia externa es un elemento clave para el buen fin de las operaciones de titulización. No obstante, las agencias de calificación han sido objeto de una intensa controversia, cuestionándose su fiabilidad y objetividad. En este trabajo abundamos en esta cuestión, analizando la distribución de los ratings otorgados a las emisiones de bonos de titulización llevadas a cabo en España (1993-2011), uno de los países más activos en cuanto al volumen de emisiones, llegaron a ocupar el segundo puesto a nivel europeo y el tercero a nivel mundial. Aportamos evidencia sobre ciertas anomalías entre las que cabe destacar la estructura oligopolística del mercado del rating, la fragilidad desde una perspectiva histórica de las calificaciones otorgadas, y la existencia de patrones no homogéneos en la elección de la agencia de calificación, tanto si se tiene en cuenta la sociedad gestora, como el colateral de respaldo.

Multirating decision model validation: the relevance of the quality of the securitization issues

Rating enables the information asymmetry existing in the issuer-investor relationship to be reduced, particularly for issues with a high degree of complexity, as is the case of securitizations. However, there may be a serious conflict of interest between the issuer’s choice and remuneration of the agency and the credit rating awarded, resulting in lower quality and information power of the published rating. In this paper, we propose an explicative model of the number of ratings requested, by analyzing the relevance of the number of ratings to measure the reliability, where multirating is shown to be associated to the quality, size, liquidity and the degree of information asymmetry relating to the issue. Thus, we consider that the regulatory changes that foster the widespread publication of simultaneous ratings could help to alleviate the problem of rating model arbitrage and the crisis of confidence in credit ratings in general and in the securitization issues, in particular.

Development of appropriateness explicit criteria for cataract extraction by phacoemulsification

Background: Consensus development techniques were used in the late 1980s to create explicit criteria for the appropriateness of cataract extraction. We developed a new appropriateness of indications tool for cataract following the RAND method. We tested the validity of our panel results. Methods: Criteria were developed using a modified Delphi panel judgment process. A panel of 12 ophthalmologists was assembled. Ratings were analyzed regarding the level of agreement among panelists. We studied the influence of all variables on the final panel score using linear and logistic regression models. The explicit criteria developed were summarized by classification and regression tree analysis. Results: Of the 765 indications evaluated by the main panel in the second round, 32.9% were found appropriate, 30.1% uncertain, and 37% inappropriate. Agreement was found in 53% of the indications and disagreement in 0.9%. Seven variables were considered to create the indications and divided into three groups: simple cataract, with diabetic retinopathy, or with other ocular pathologies. The preoperative visual acuity in the cataractous eye and visual function were the variables that best explained the panel scoring. The panel results were synthesized and presented in three decision trees. Misclassification error in the decision trees, as compared with the panel original criteria, was 5.3%. Conclusion: The parameters tested showed acceptable validity for an evaluation tool. These results support the use of this indication algorithm as a screening tool for assessing the appropriateness of cataract extraction in field studies and for the development of practice guidelines.

Análisis del riesgo de contraparte a través del modelo estructural de Merton en el marco de Solvencia II

[ES] La entrada en vigor del proyecto de Solvencia II transformará por completo el sistema de determinación de las necesidades de capital del sector asegurador europeo. Recientemente se ha presentado el último estudio de impacto cuantitativo (QIS5), donde se establece la forma de cálculo del modelo estándar para la determinación de los requerimientos de capital. Este trabajo trata de analizar la adecuación de la calibración del riesgo de crédito de la contraparte mediante los modelos que se proponen en los últimos informes de impacto cuantitativo (cuarto y quinto). Para ello comparamos las necesidades de capital que se obtienen por ambas alternativas, frente a las que resultarían de aplicar un modelo de simulación basado en el enfoque estructural. Los resultados obtenidos muestran que el uso de probabilidades basadas en la metodología de Merton frente a aquellas basadas en ratings, dan lugar a requerimientos de capital sustancialmente mayores. Además, el modelo propuesto en QIS4 basado en la distribución de Vasicek no es adecuado cuando el número de contrapartes es reducido, situación habitual en el sector asegurador europeo. Por otra parte, la nueva propuesta (QIS5 o modelo de Ter Berg) es más versátil y adecuada que su antecesora pero requiere analizar con más detenimiento las hipótesis de calibración para de este modo aproximar mejor las estimaciones al riesgo realmente asumido.

Does rating shopping exist in spanish securitization issues?

[EN] Debt issue credit ratings can lead to conflicts of interest as the issuer itself is entrusted with contracting and compensating the rating agency. Into the bargain, the credit rating agency may be involved in designing the issues that the same agency subsequently rates. Credit rating agencies thus could have incentives to rate issues advantageously. Given the economic importance of this issue, in this paper we have proposed to analyze this phenomenon, known as rating shopping in academic literature, for Spanish market securitization issues for the period of time comprehensive from January 1993 to December 2011. In sum 3,665 published ratings are been analysed, for an issued nominal amount of 791,090 million Euros. The results show an association between the credit rating agency contracted and the mean rating awarded. Significant differences are observed in the ratings associated to the contracting manager (or special purpose vehicle SPV- manager firm), to the number of ratings or to the type of collateral. Furthermore, a pattern compatible with rating shopping was observed for some types of collateral: abnormally high market shares associated with certain agencies awarding unusually generous ratings. However, this phenomenon is not seen to be widespread on the rating market associated to Spanish securitization issues.