抵押債權受益憑證是由許多債務憑證組成的信用風險商品，近年來，其發展已經成為全球固定收益證券市場重要的一部分。在本論文中，我們先概述抵押債權受益憑證發展狀況，接著介紹三大信評公司-穆迪、標準普爾、惠譽- 如何對押債權受益憑證分券進行評等，這三家信評公司各自發展出自己的評等模型，這些模型當中有相似也有相異之處。
然後，利用50檔信用違約交換組成合成型抵押債權受益憑證，標的資產分成高溢酬與低溢酬的投資組合，分別放入標準普爾與惠譽的評等模型做比較，最後簡述評等套利。

Collateralized debt obligations, CDOs, are credit risk products backed by a pool of debt obligations. Over recent years, CDOs have become an important part of the global fixed income market. In this paper, we first describe the overview of CDOs. Then we introduce how rating agencies - Moody’s, S&P and Fitch - determine the rating of a CDO tranche. Each of them has their own methodologies, some are similar and some are different.
Next, we construct two synthetic CDOs with one is high premium portfolio and the other is low premium portfolio. Put the required information into S&P’s and Fitch’s rating software and compare these results. Finally, we use these result to make some short discussions about rating arbitrage.

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