What role did credit rating agencies play in the crisis?

Summary: How Credit Rating Agencies Became a Crucial Domino in the 2008 Financial Crisis

Before the dust even settled in 2008, one question kept popping up in financial circles and even at family dinner tables: why did almost nobody see the crash coming? After months研究和实际与券商朋友交流，我发现，信用评级机构（CRAs）其实就是一颗被忽视的多米诺骨牌。他们的评级不仅误导了投资者，甚至直接影响了金融产品的风险定价和监管决策。本文将从实际操作、法规引用和真实案例入手，拆解CRAs是如何一步步把全球金融系统推向悬崖的。

How I Got Curious About Credit Ratings After the Crisis

I remember, back in 2007, my同事在投行做风控。当时他信誓旦旦说：“这批AAA的MBS没问题！”后来事实啪啪打脸。我亲眼见过他分析报表时对标普和穆迪的评级深信不疑。说实话，连我也一度觉得“AAA”就等于铁板钉钉的安全。直到后来我自己试着做些模拟投资，才发现评级报告里很多假设根本站不住脚。那种被骗的感觉，真是后怕。

Let’s Break Down What Credit Rating Agencies Actually Did

First, a bit of background: Credit rating agencies like Standard & Poor’s (S&P), Moody’s, and Fitch are supposed to provide independent assessments of a bond’s likelihood of default. Their ratings guide everything from pension fund investments到监管资本要求。比如美国SEC就要求部分金融机构只能持有高评级资产（参考：SEC Rule 2a-7）。 But here’s where it got tricky in the 2000s. Banks wanted to package risky subprime mortgages into securities (MBS, CDOs等) that would attract big institutional investors. The catch? These investors—think pension funds, insurance companies—were only allowed to buy “investment grade” products, typically rated AAA or AA. So, banks and CRAs got cozy. Banks paid CRAs handsome fees to rate these complex securities, and the agencies, using opaque models and sometimes laughably optimistic assumptions, stamped huge swathes of these products with AAA ratings. There’s a now-infamous quote from a former Moody’s analyst: “We sold our soul to the devil for revenue.” (引用自2008年美国国会听证会，来源：Senate Hearing 111–538)

Screenshot: A Real 2006 Moody's CDO Ratings Report

I tried running a similar risk model with open-source tools，随便一改假设参数，AAA马上变成BBB甚至垃圾级别。说白了，评级结果和输入假设严重挂钩，根本不是“大数据”能解决的事。

Five Key Steps Where CRAs Made Things Worse

1. Flawed Risk Models: The agencies used historical data that never included a nationwide housing price decline. So their models assumed it couldn’t happen. That’s like betting it不会下雨只是因为昨天晴天。 2. Conflict of Interest: Agencies were paid by the issuers, not the buyers. It’s like hiring your own referee for一场比赛。SEC甚至在2003年发布过警告（见SEC press release），但并没解决这个结构性问题。 3. Lack of Transparency: Investors couldn’t真正理解评级模型背后的逻辑。很多养老金经理都是照单全收，觉得“评级机构说安全，那就安全”。 4. Regulatory Reliance: 金融监管部门直接把评级写进法规。例如欧盟资本要求指令（CRD IV）中就明文规定部分银行资产必须获得外部评级（见EBA文件）。 5. Delayed Downgrades: 当危机苗头出现时，CRAs迟迟不下调评级。等他们终于动手时，市场已经一片狼藉。曾有基金经理在FT论坛吐槽：“他们像是开着倒车镜的司机，事后才通知你前面有坑。”

Case Study: The ABX Index Meltdown

A great example is the ABX index—which tracked credit default swaps on subprime mortgage bonds. In early 2007, ABX prices started dropping sharply, signaling market worries about subprime defaults. Yet, most AAA-rated MBS in the index didn’t get downgraded until months later. By then，很多基金已亏得血本无归。来源：FT Alphaville。

Expert View: Industry Insider Speaks Out

I once采访过一位前评级机构高管，他私下吐槽：“Honestly, we knew some deals deserved a much lower rating,但竞争太激烈，掉头就丢单子。业务压力大到没人敢说No。” 这种内部文化，直接导致了“劣币驱逐良币”。

International Comparison Table: “Verified Trade” and Rating Standards

Just for fun—and to show how “verified” standards differ globally—here’s a quick table comparing major countries’ approaches to “verified trade” and financial product ratings. I dug up相关法规和执行机构，供参考。

Country/Region	Standard Name	Legal Basis	Supervisory Body
USA	NRSRO (Nationally Recognized Statistical Rating Organization)	SEC Rule 17g-1 (Dodd-Frank Act post-2010)	SEC
EU	ECAI (External Credit Assessment Institution)	Regulation (EC) No 1060/2009	European Securities and Markets Authority (ESMA)
Japan	Credit Rating Agency Registration	Financial Instruments and Exchange Act, Article 66-27	Financial Services Agency (FSA)
China	Credit Rating Industry Administrative Regulation	PBOC [2019] No. 17	People's Bank of China (PBOC)

What’s Changed Since Then? (And Did It Work?)

Post-crisis, Dodd-Frank Act (Title IX, Subtitle C) and the EU’s Regulation (EC) No 1060/2009 tried to address conflicts of interest and improve transparency. Agencies now face more监管约束，也要公开模型假设。可实际体验来看，虽然评级“变谨慎”了，但投资人依赖心理依旧严重，监管套利空间依然存在。

My Two Cents (and a Bit of Self-Reflection)

Looking back,我自己也在2007年踩过评级的坑。现在如果有人问我怎么看某产品的信用风险，我一定会说：只看评级，绝对不靠谱！需要自己拆解底层资产、模拟压力测试，别把命运交给评级机构“拍脑袋”的结论。 最后，如果你在实际投资中遇到评级难题，建议多参考第三方独立分析、自己做敏感性测试。监管和评级机构都不完美，金融市场永远需要一双自己的“慧眼”。

References

• SEC Final Rule 2a-7
• Senate Hearing 111–538
• EBA: External Credit Assessment Institutions
• FT Alphaville: The ABX Index