分块式不良资产估值模型的构建研究

发布时间：2018-02-26 13:04

本文关键词： 不良资产价值评估物权担保价值模块违约成本　出处：《华北电力大学(北京)》2016年硕士论文　论文类型：学位论文

【摘要】：2008年美国次贷危机到迄今尚未结束的欧债危机事实表明：不良资产的大量累积不仅冲击金融市场,而且也是制约金融市场的稳定发展的巨大隐患。对我国金融业来说,当务之急就是要尽快解决好不良资产的处置问题,在处置不良资产过程中,在如何确定其价值方面,资产评估发挥了至关重要的作用,通过对不良资产的评估,来确定其客观、合理的价值,为不良资产的处置定价提供咨询和参考。在不良资产分类中,含物权担保类的不良资产最为常见,其占据了我国不良资产中的很大比例。因此,如何对含有物权担保的不良资产进行合理估价,成为当前不良资产处置中亟需解决的问题。当前不良资产评估方法的理论与方法的研究与实践较为脱节,理论研究得到的方法由于其方方面面的局限性难以应用到实践工作中去,导致了评估实务多年来没有方法上的创新,理论研究的成果不能在不良资产处置定价中发挥真正的作用。本文将以评估实务中的可操作性为出发点,分析现有不良资产估值理论中的各方法所具备的优势和其不足,然后提出一种分块式的估值思路,分别针对单项大额不良资产和不良资产包的估值构建两个估值模型,单项大额不良资产估值模型通过将一项不良资产拆分为数个资产模块,并使用在评估该模块类别的资产中具有优势的估值方法,最后汇总得到整个不良资产的价值。同时加入了一个用来评估担保企业对于债权的影响的价值模块,以完善目前的估值方法中没有纳入对担保企业影响的评估的缺陷。最后通过一个算例来检验方法的可行性。这种方法紧密结合评估实践,易于操作,精确度高,同时也具备很好的经济性。不良资产包估值模型则通过分块计算可确指物权资产和债权资产来减少不良资产评估中三大难点对估值精度带来的影响,虽然并不能完全解决这些问题,但是较已有方法提高了精度,希望这种思路能为广大资产评估工作者提供参考,使不良资产评估方法体系更加全面完善。
[Abstract]:The fact that the subprime mortgage crisis in the United States reached the end of the European debt crisis in 2008 shows that the accumulation of non-performing assets not only impacts the financial market, but also restricts the stable development of the financial market. The urgent task is to solve the problem of the disposal of non-performing assets as soon as possible. In the process of disposal of non-performing assets, asset evaluation plays a vital role in determining its value. Through the evaluation of non-performing assets, it is determined that they are objective. The reasonable value provides advice and reference for the disposition pricing of non-performing assets. In the classification of non-performing assets, non-performing assets with security interests are the most common ones, which occupy a large proportion of the non-performing assets in our country. How to evaluate the non-performing assets with real right security has become a problem that needs to be solved in the current disposal of non-performing assets, and the research and practice of the theory and method of non-performing assets evaluation methods are quite disjointed. The method obtained from theoretical research is difficult to be applied to practice because of its limitations in all aspects, which leads to the lack of innovation in evaluation practice for many years. The results of theoretical research can not play a real role in the pricing of non-performing assets disposal. This paper will analyze the advantages and disadvantages of various methods in the theory of valuation of non-performing assets based on the feasibility of evaluation in practice. Then, a piecewise valuation method is proposed to construct two valuation models for the valuation of single large non-performing assets and non-performing assets, which are divided into several asset modules by dividing a single non-performing asset into several asset modules. Using the valuation method that has the advantage in evaluating the assets of this module category, and finally aggregating the value of the whole non-performing assets. At the same time, a value module is added to evaluate the impact of the secured enterprise on the creditor's rights. In order to perfect the current valuation method without incorporating the defects of the impact assessment on the guaranteed enterprise. Finally, a numerical example is used to test the feasibility of the method. This method is closely combined with the evaluation practice, easy to operate and high in accuracy. At the same time, it also has a good economy. The valuation model of non-performing assets can be used to calculate the real assets and creditor's rights assets in order to reduce the impact of the three difficulties in the appraisal of non-performing assets on the valuation accuracy. Although these problems can not be completely solved, the accuracy of these methods is improved. It is hoped that this way of thinking can provide a reference for the vast number of asset appraisal workers and make the method system of non-performing assets assessment more comprehensive and perfect.
【学位授予单位】：华北电力大学(北京)
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.4

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