Düzenlenmiş Elektrik ve Gaz Kamu Hizmet SağlayıcıŞirketlerinin Alternatif Moody’s Rating MetodolojileriAltında Ana Kredi Risk Parametrelerinin Yapılandırması:Bir Doğal Gaz Hizmet Sağlayıcısı Vaka Analizi

Bu makale, enerji piyasası denetim otoritesi tarafından regule edilen bir doğalgaz dağıtım firması bazında kredi derecelendirme (rating) analiz süreci içinde kullanılabilecek olan farklı rating modellerinin uygunluk konusunu detaylı bir şekilde analiz etmektedir. Bu çerçeve içinde, Moody’s Analytics tarafından geliştirilmiş, Risk Calc™ v3.1 Gelişmekte olan Piyasalar Modeli ile 16 Mart 2017 tarihli Moody’s rating kuruluşu tarafından geliştirilmiş “Regüle Edilen Elektrik ve Gaz Şirketleri” için kullanılan Rating Modeli analiz konumuz olmuştur. Çalışmamız metodolojik olarak vaka çalışmaları kullanarak, Enron ve ayrıca gelişmekte olan piyasalardaki regüle edilmiş doğal gaz dağıtım firmalarının Türkiye örneğindeki bir şirket dahilinde kredi risk analizine ve modellemesine odaklanmaktadır. Bulgu açısından Enron vakası bizlere zaman noktası modellerinin rating kuruluşları tarafından kullanılan modellere göre Enron’un iflasının çok önceden görebildiğine işaret etmektedir. Analizde kullanılan EDF (Beklenen Temerrüt Frekans Modeli) ise 0.65% oranındaki bir temerrüt olasılığını bizlere göstermektedir. Bu oran ise Moody’s rating ajansının Baa3 derecesine denk gelmektedir. Kullanılan diğer “Regu” modeli ise Ba derecesi içindeki spekülatif dereceye işaret etmektedir. Her iki modelinde aynı borçlu firma için farklı derecelendirme ve temerrüt olasılığı hesaplaması dikkat çekicidir. Bu durum ise farklı modellerin farklı kullanıcılar açısından kullanılmaları durumunda farklı modellerin seçilmesi durumunu ortaya koymaktadır. Bu durumda düzgün analizin yapılması için uygun olan modelin seçilmesi önemlidir.

Structuring Key Credit Risk Parameters for Regulated Electric and Gas Utilities under Alternative Moody’s Rating Methodologies: A Case Study for a Natural Gas Distribution Utility

This paper elaborates the relevancy issue of a rating model in the context of credit rating analysis process of a natural gas distribution company. Against this background, we have analysed the Moody’s Analytics Risk Calc™ v3.1 Emerging Markets and the Regulated Electric and Gas Rating Methodology of Moody’s Investor Services dated from March the 16th, 2017. Methodologically, the article relies on case studies namely the Enron case and a case from regulated natural gas distribution company in Turkey. In terms of findings, Enron case highlights the importance of point-in-time rating models over agency based rating models in terms of default prediction. The EDF model provided a PD value of 0.65%, which corresponds to Baa3 level in Moody’s rating agency terms. On the other hand, the REGU Model indicates the Company with “Ba” rating, which is a “Speculative Grade”. This result indicates us a severe difference in default probabilities for the same entity. This is consequent and in line with the informational needs of different users and if different models are used respective to their needs. In summary, each rating model is developed by rating agencies for different purposes and we need to choose the appropriate rating model to make accurate analysis.

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