İşletmelerde risk derecelendirmesi ve Türkiye'de uygulanması
Başlık çevirisi mevcut değil.
- Tez No: 55737
- Danışmanlar: PROF.DR. NİYAZİ BERK
- Tez Türü: Doktora
- Konular: Mühendislik Bilimleri, İşletme, Engineering Sciences, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1996
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Fen Bilimleri Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 126
Özet
ÖZET Derecelendirme (Rating) borçlunun anapara ve faiz geri ödemelerini zamanında yapması ile ilgili riski saptamaya çalışan öznel (sübjektif) bir borç kalitesi ölçüsüdür ve sabit getirili fınansal varlıklara uygulanmaktadır. Kısa ve uzun vadeli tüm borçlanma araçları; tahviller, finansman bonoları, imtiyazlı hisse senetleri, mevduat yükümlülükleri, mevduat sertifikaları, kabul avaller, ipotek teminatlı finansman bonosu gibi garantili finansman araçları (structured finance), swap işlemleri, sigorta şirketlerinin poliçe yükümlülüklerini karşılama gücü, banka teminat mektupları, Eurobond'lar derecelendirme işlemine tabi tutulmaktadır. Bunların yanında derecelendirme kurumları yalnız menkul kıymetleri değil, işletmeleri, fınansal kurumları ve ülkeleri de derecelendirmektedirler. Hisse senedi sıralamaları (stock ranking) de borç derecelendirmesine benzer bir sistemle gerçekleştirilmektedir. Dünya'daki başlıca derecelendirme kurumları Standard&Poor's, Moody's ve Fitch Investors Service'tır. Dünyadaki küreselleşme ve bilginin önemi ile birlikte derecelendirme sürecinin önemi her geçen gün artmaktadır. Türk sermaye piyasalarında derecelendirme sürecinin ve derecelendirme kurumlarının işlerlik kazanması ile sermaye piyasalarına olan güven artacak, yabancı yatırımcılar piyasaya daha rahat girecek, uluslararası piyasalarla uyum sağlanacak ve firmalar daha düşük maliyetle uzun vadeli finansman sağlayabileceklerdir. Bu çalışmada derecelendirme kavramı, işlevleri, yatırım, risk ve derecelendirme ilişkileri, derecelendirme kurumlarının tarihçesi, verilen notların tanım ve anlamları, derecelendirme süreci, ülke, banka ve endüstriyel şirket derecelendirmeleri ve kriterleri ile bazı kurumsal yatırımcılar tarafından geliştirilen yöntemler incelenmektedir. Çalışmanın sonunda ise endüstriyel şirket derecelendirmelerinin Türkiye'de uygulanabilirliği açısından bir öneri geliştirilmektedir.
Özet (Çeviri)
John Moody in his 'Manual of Railroad Securities'. The ratings were on the financial quality of some 250 railroad companies in United States at that time. Today Standard and Poor's Corporation, Moody's Investors Service and Fitch are the major rating agencies. To help assure that major institutional investors critical to the economy are not exposed to large losses, US Comptroller of Currency rules that many institutions like government pension funds, reserve banks or insurance companies can't buy securities rated below a certain level. Besides the use of the rating system by regulators, investors themselves use ratings for their investment decisions. As a result rating system is an important tool in financial markets. Ratings represent the quickest and most convenient means of communicating the rating agency's credit risk analysis to the market. They provide the relative ranking of the default loss probability for a given fixed- income investment in comparison with all other rated instruments. The cost of debt for a firm is influenced greatly by the quality rating given to it by major rating agencies. Investors demand more value added return or risk premium on lower rated securities to compensate for higher probability of default. Some investors prefer to create a portfolio of securities with approximately the same level of risk. If a security in the portfolio is upgraded or downgraded, investors sell that Security and buy another within the preferred category. Ratings are not recommendations to buy, sell or hold a security. They don't comment on market price, market supply or investors preference and suitability. Ratings are one of the various tools in determining the credibility of a debt issue. With the help of ratings issuers gain wider access to capital. The international language of rating symbols provides a comparison of the company in an international universe; easily understood by investors. Besides ratings may help reducing financing costs because issuer is able to choose xiithose markets that offer the most economical alternatives. Also a high rating from a recognized agency provides advantage in borrowing costs. Investors rely on ratings to measure both credit soundness and relative market value of a fixed-income security. The marketability of an issue, particularly in times of tight money is affected by the rating it receives. Securities rated below 'investment grade' level can not be purchased for some investment purposes. The lower the rating, the fewer the number of potential investors. The market's quality evaluation of common stock is also influenced by the perceived quality of the company's senior funded debt. In summary the benefits of a credit rating are: To Issuers - Low cost funding - Strengthen credibility - Broaden market access and investor base - Increase financial flexibility - Ensure optimal pricing an distribution of securities To Investors - Reliable, independent guide to default risk - Ratings facilitate comparisons and sound portfolio management To Regulators - Help assure health and stability of financial system - Promote efficiency by reducing market volatility and arbitrage based on rumor. To intermediaries - Help in planning, pricing and placement of securities. Ratings are generally represented by letters or numbers, from highest to lowest level. Rating categories range from AAA (Standard&Poor's and Fitch) or Aaa (Moody's) representing securities with the strongest capacity to repay principal and pay interest, to D, representing securities in default whose xiiiprincipal and/or interest payments are in arrears. Furthermore, ratings are supported by plus or minus signs, in response to criticism that the rating categories are too broad to show relative gradations within a category. All types of debt or related obligation of interest to institutional investors with a fixed promise to pay is rated. That includes long-term debt securities; ranging from debentures, mortgage bonds to convertible bonds to name just a few. Also all types of short term debt and deposit obligations like commercial paper, Eurocommercial paper, certificates of deposit, banker's acceptances, all kinds of swap transactions. Structured financing ranging from mortgage and asset backed securities to commercial paper collateralised by home mortgages are rated as well. The ability of insurance companies to meet policyholder's obligations and preferred stocks are also subject to rating In determining a rating both quantitative and qualitative analysis are employed. In fact the rating judgment is qualitative in nature and the role of quantitative analysis is to help make the best possible qualitative judgment because, ultimately, a rating is an opinion. Due to the subjective nature of the rating process, the ratings assigned to the same issue by different rating agencies may be different. Although each rating agency has defined the meaning of its ratings, the agencies have not explicitly specified the process they use to arrive at these ratings. In fact each issue has its own characteristics and even the financial ratios used may differ from case to case. The rating considerations employed by the rating agencies follow no precise formulas based on quantitative ratio analysis or specific weighing of qualitative issues. Companies frequently enter into the rating process with a notion that their rating will be based on a calculation of certain ratios which will then be compared to those of existing companies rated in that category, with less consideration being given to the nature of the industry, its position in relation to the company, market share of the company, management quality and market timing. In fact, the final rating is based on the class of debt, financial ratios and other quantitative and qualitative factors reflecting the experience of the analyst and the specifics of each situation. Rating agencies consider five basic areas in arriving at a rating. These are indenture provisions, financial resources, earnings, asset protection and management. xiv1. The indenture is a legal document spelling out the rights and obligations of the issuer (borrower) and the bondholder (lender). Indentures are reviewed by the rating agencies to determine; the provisions for and the protections against issuing additional debt with the same security, the value of off balance sheet guarantees like letters of credit or parent company/bank guarantees, the restrictions on sale and sale/leaseback of assets, level of flexibility which management has. 2. Financial resources refers to a firm's liquidity and its ability to obtain funds externally. Liquidity is measured by current assets, current ratio, turnover ratios and the like. Firm's used and unused credit lines is an other consideration. Other than the turnover of current assets, a firm has four main sources of cash: - Cash generated internally: Net income + Depreciation - Sale of equity - Sale of assets -Debt In the rating process, these sources of cash are reviewed as well. 3. Earnings level and stability is another important subject. Rather than the level of earnings, stability of earnings is of interest to rating agencies, because it is considered as a barometer of the company's financial well being. In making the evaluation, the industry and the economy, company's position within the industry, age and size of issuer, issuer's product line are examined. For the leverage, off balance sheet liabilities, including uncapitalized lease, guarantees, unfunded pension liabilities are also taken into account. 4. Asset protection is analyzed in order to determine the degree of protection afforded by assets through liquidating in case of default. Analysts try to determine if stated values are equal to real values. The productive efficiency and replacement cost of fixed assets, whether assets are undervalued or overvalued are some of the points examined. 5. Beyond quantitative analyzes, rating agencies are interested in the management's philosophies and performance. Management's ability to formulate and define financial and operating policies, the efficiency with XVwhich management has implemented such policies in the past, management's plans to achieve stated objectives, strategic approaches, intentions towards leverage are points of consideration. Putting these considerations together and assessing a company's leverage record, management policy and planning, a picture is drawn as to the future. The management is on review and 'at risk' during rating presentations. Assessment of company's management focuses on conservatism or aggressiveness with respect to financial risk, organizational considerations and the financial record as a reflection of management's success or failure. In general the rating process includes the following steps: The issuer approaches the rating agency and request the rating of its obligation. Generally the rating agencies prefer the issuer to be assisted by an investment banker, as their experience usually speeds up the process, particularly in the case of first-time ratings. The issuer is requested to complete request forms and an analytical team is assigned to the issue. The company (issuer) is also required to prepare an information package including registration statement, indenture, copies of annual reports to stockholders for the past 5 years and interim reports for 3 years, a brief statement on the history of the company, copy of the most restrictive loan agreement for term loans and revolving credits, capital budget for the next five years, an indication of company's financial stratedgy in terms of internal cash flow generation, external financing and balance sheet objectives for leverage, working capital and liquidity. Rating team collects and analyses all relevant internal and external information. The team may require a meeting with the issuer's management to resolve any question or concern. The team may also request to visit the issuer's facilities to allow the issuer to make an on-site presentation and to get a better feel of issuer's operations. After the formal presentation analysts prepare a report for the rating committee covering; the proposed issue and terms of indenture, capitalization, nature of company's business and history, management, earning and cash flow xvihistory and forecast, financing plans, ratio analysis, rating history if applicable and rating recommendations. Deciding upon the tentative rating, the issuer is notified of the decision. If the issuer accepts the decision the rating is released to the market. If the issuer rejects the decision and presents additional information to the rating committee, the case is reopened and after discussions a new vote takes place to either confirm or modify the rating. Then ratings are published in press except for the cases where the issuer has the publication rights. Issuer has the publication rights to the rating in case of private placements, mortgage related financing, insured certificates of deposits. To assure continued applicability, bond ratings are reviewed at least annually and commercial paper quarterly. Ratings are constantly monitored by industry specialists. When the condition for an issuing entity changes, requiring reconsideration of the outstanding debt rating, the analysts make a review, meet with management and make a presentation to the rating committee. The rating committee evaluates the matter, arrives at a rating decision and notifies the issuer, after which the rating is published. It is the same procedure as with the rating of a new issue. A rating is not an audit. Ratings are based on audited data. Analysis of audited financials by rating agencies includes reviewing the accounting quality to determine whether ratios and statistics derived from financial statements can be accurately used to measure a company's performance and position relative to both its competition and larger universe of companies in the same industry. Since rating is a business of comparisons, it is important to have a common frame of reference. During the analysis, having evaluated the issuers competitive position and the environment in which it operates, financial analysis takes its turn. Financial risk of the issuer is portrayed largely through quantitative means, particularly by using financial ratios. While absolute level of ratios are important, it is equally important to focus on trends and the comparison of a ratio to that of competitors. Usually five years of historical and projected financial tables are requested. Ratings are forward looking and are not just a reflection of historical results. Therefore companies that have exhibited strong XVUresults to date but face uncertain futures may be rated well below what their historic results would indicate. While fixed income ratings try to assess corporate debt quality to relate corporate credit risk, stock rankings try to relate corporate equity stock risk. The common link between the two is corporate risk. This relationship suggest that stock rankings might be useful in the initial assessment of a potential debt rating. In addition, rankings of corporate equity stock quality are available for a wider range and longer list of corporations than are debt ratings. Stock rankings have been shown to be related to stock betas. S&P's Stock Ranking System is a computer generated analysis which measures the historical growth and stability of earnings and the historical growth and stability of dividends, and then assigns a ranking for each company based on its relative performance over the most recent ten year period. There is a slight adjustment for size and marketability.“Debt rating/equity ranking”matrices show that ratings are positively related with common stocks rankings. In this study the rating concept and its uses, the relationship between investment, risk and rating, history of rating agencies, definition and meaning of ratings, rating criteria, rating methodologies for sovereign governments, banks and industrial companies are examined. Then a proposal ise made, to rate industrial companies in Turkey. With the use of rating process and the foundation of rating agencies the trust of foreign and local investors to Turkish capital markets shall increase, integration to international markets shall be possible and firms shall provide long term debt with much less cost. Will
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