房地产投资信托基金风险管理研究
发布时间：2018-08-09 14:07
【摘要】：随着经济的快速发展，房地产业已经成为我国基础性行业，并在我国经济发展中占有重要地位。房地产业是一个典型的资金驱动型行业。自2003年以来国家就对房地产企业的银行贷款有收紧的趋势，最近几年国家又通过宏观调控连续的上调贷款利率，使房地产融资的成本不断上升。而另一方面，国内大量的民间资本却缺乏合理的投资渠道，使得许多中小投资者无法是资本投入到房地产行业，不能分享房地产产业快速发展带来的收益。作为能很好解决上述矛盾的有效工具，房地产投资信托基金在中国的推出将是我国完善资本市场和推动房地产业健康发展的重要推动力量。在给房地产行业和投资者带来巨大收益的同时，房地产投资信托基金所潜在的风险也不容忽视，如何对房地产投资信托基金的风险进行有效的分析和管理，将对促进我国房地产投资信托基金健康完善的发展具有重要的理论和现实意义。 进入新世纪以来，随着我国金融市场的不断完善和发展，证券投资基金以其专业理财优势、理性投资行为已经成为我国证券市场上影响力最大的机构投资者之一。对基金的风险管理研究已经成为近年来我国金融理论界研究的热点问题之一，特别是对开放式基金的风险的研究。风险测量有很多方法，例如方差法和β系数法等。由于VaR值可以简单地通过一个数值表明资产或资产组合的市场风险的大小，简单易懂，且方便对比较同资产或资产组合风险的大小。另外，利用VaR还可以度量资产组合的整体市场风险，这许多传统风险度量方法是做不到的。本借鉴开方式基金的风险度量方法，选取在香港上市的三家房地产投资信托基金为样本，通过EVIEWS6.0统计分析软件和计量经济学方法进行数据处理，实证分析结果得出:房地产投资信托基金收益率序列分布具有尖峰厚尾的特点，并且具有明显的GARCH效应;GARCH模型很好地拟合了收益率序列残差项的异方差性，，选用GARCH模型能够比较准确的进行VaR的估计，从而对房地产投资信托基金市场风险进行度量。
[Abstract]:With the rapid development of economy, the real estate industry has become the basic industry of our country, and occupies an important position in the economic development of our country. Real estate industry is a typical fund-driven industry. Since 2003, the government has been tightening the bank loans to real estate enterprises. In recent years, the cost of real estate financing has been rising because of the continuous increase of loan interest rate through macro-control. On the other hand, a large amount of private capital in China lacks reasonable investment channels, which makes many small and medium-sized investors unable to invest in the real estate industry and share the profits brought by the rapid development of the real estate industry. As an effective tool to solve the above problems, the introduction of real estate investment trust fund in China will be an important driving force to perfect the capital market and promote the healthy development of real estate industry. While bringing huge profits to real estate industry and investors, the potential risks of real estate investment trust funds can not be ignored, how to effectively analyze and manage the risks of real estate investment trust funds, It is of great theoretical and practical significance to promote the healthy development of real estate investment trust fund in China. Since entering the new century, with the continuous improvement and development of our financial market, the securities investment fund has become one of the most influential institutional investors in the securities market with its professional financial management advantage and rational investment behavior. In recent years, the research on risk management of funds has become one of the hot issues in the field of financial theory, especially the risk of open-end funds. There are many methods for risk measurement, such as variance method and 尾-coefficient method. Because the VaR value can simply indicate the size of the market risk of the asset or portfolio through a numerical value, it is easy to understand and easy to compare the size of the risk of the same asset or portfolio. In addition, the use of VaR can also measure the overall market risk of portfolio, which many traditional risk measurement methods can not do. This paper draws lessons from the risk measurement method of open fund, selects three real estate investment trust funds listed in Hong Kong as the sample, and processes the data by EVIEWS6.0 statistical analysis software and econometrics method. The empirical results show that the distribution of return series of real estate investment trust funds has the characteristics of sharp peak and thick tail, and has obvious GARCH effect. GARCH model fits well the heteroscedasticity of the residual terms of the return series. The GARCH model can be used to estimate the VaR accurately, and then to measure the market risk of real estate investment trust funds.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F293.3;F832.49
本文编号：2174313
[Abstract]:With the rapid development of economy, the real estate industry has become the basic industry of our country, and occupies an important position in the economic development of our country. Real estate industry is a typical fund-driven industry. Since 2003, the government has been tightening the bank loans to real estate enterprises. In recent years, the cost of real estate financing has been rising because of the continuous increase of loan interest rate through macro-control. On the other hand, a large amount of private capital in China lacks reasonable investment channels, which makes many small and medium-sized investors unable to invest in the real estate industry and share the profits brought by the rapid development of the real estate industry. As an effective tool to solve the above problems, the introduction of real estate investment trust fund in China will be an important driving force to perfect the capital market and promote the healthy development of real estate industry. While bringing huge profits to real estate industry and investors, the potential risks of real estate investment trust funds can not be ignored, how to effectively analyze and manage the risks of real estate investment trust funds, It is of great theoretical and practical significance to promote the healthy development of real estate investment trust fund in China. Since entering the new century, with the continuous improvement and development of our financial market, the securities investment fund has become one of the most influential institutional investors in the securities market with its professional financial management advantage and rational investment behavior. In recent years, the research on risk management of funds has become one of the hot issues in the field of financial theory, especially the risk of open-end funds. There are many methods for risk measurement, such as variance method and 尾-coefficient method. Because the VaR value can simply indicate the size of the market risk of the asset or portfolio through a numerical value, it is easy to understand and easy to compare the size of the risk of the same asset or portfolio. In addition, the use of VaR can also measure the overall market risk of portfolio, which many traditional risk measurement methods can not do. This paper draws lessons from the risk measurement method of open fund, selects three real estate investment trust funds listed in Hong Kong as the sample, and processes the data by EVIEWS6.0 statistical analysis software and econometrics method. The empirical results show that the distribution of return series of real estate investment trust funds has the characteristics of sharp peak and thick tail, and has obvious GARCH effect. GARCH model fits well the heteroscedasticity of the residual terms of the return series. The GARCH model can be used to estimate the VaR accurately, and then to measure the market risk of real estate investment trust funds.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F293.3;F832.49
【参考文献】
相关期刊论文 前10条
1 刘兴权,王振山,史永东;金融风险管理中的VaR模型及其应用[J];东北财经大学学报;1999年06期
2 李建华;;我国房地产融资渠道的新选择——房地产信托投资基金(REITs)[J];当代经理人;2005年02期
3 王仁涛;;中国房地产投资信托基金的风险防范研究[J];经济问题探索;2008年09期
4 王诤诤,陈华东;房地产投资信托运营模式研究[J];金融理论与实践;2004年09期
5 黎曦;骆汉宾;陈翊;;房地产投资信托风险管理[J];建筑经济;2006年09期
6 张财广;;我国房地产投资信托基金(REITs)运行模式研究[J];理论学习与探索;2007年06期
7 沈香;;试论我国房地产投资信托基金的风险[J];商场现代化;2009年17期
8 章程玲;;关于美国房地产投资信托基金的研究[J];时代经贸(下旬刊);2007年01期
9 王美今,王华;基于GARCH-t的上海股票市场险值分析[J];数量经济技术经济研究;2002年03期
10 伍扬波;;浅析我国发展房地产信托投资基金的意义[J];商业文化(学术版);2008年02期
相关硕士学位论文 前3条
1 修大鹏;房地产投资信托及其组织模式研究[D];中央财经大学;2005年
2 王丽娜;VaR在我国开放式基金风险管理中的应用[D];东北财经大学;2007年
3 赵丽丽;基于蒙特卡洛模拟的VaR方法在房地产市场风险度量中的应用[D];山东大学;2008年
本文编号：2174313
本文链接：https://www.wllwen.com/guanlilunwen/huobilw/2174313.html
