不动产证券化及其信用风险管理研究

发布时间：2018-05-22 14:55

本文选题：不动产证券化 + 信用风险　；参考：《五邑大学》2013年硕士论文

【摘要】：自70年代起,在西方金融市场上逐渐有一系列新的金融产品崭露头角,例如一些新融资方式、支付清算手段、管理方法以及新的金融组织形式。其中，不动产证券化作为各类新金融产品中最具特色的创新之一,成功地创造了一种模式,即将不动产与金融业结合在一起,不仅为不动产投资金融化带来生机,同时这种共同发展的创新也使得公司和个人理财的观念上升到新的高度。近几年来,我国经济的持续快速发展和基础建设需求的加快,使得对于不动产的相关金融服务的需求增长迅速,从我国口前资本市场发育条件和发展的资本需求来看,我国已具备了一定的开展不动产证券化的基础。不动产证券化的特点决定了它是一种具有很高的市场化程度以及众多参与主体的结构复杂金融工程,同时因为风险集中,所以需要非常严谨的交易过程。所以,不动产证券化的结构效益显著,但同时它的风险也同样是复杂多变的。因此,怎样结合我国实际对不动产证券化的风险进行分析、度量和控制,并且.如何依照我国国情实施不动产证券化,就成为一项既有理论意义又有实际意义的研究课题。在亚洲地区不动产证券化发展的历史进程中,台湾地区不动产证券化的发展最为迅速。相对于美国和日本来说,台湾地区和大陆有着共同的社会历史传统,相似的法律制度和经济环境,所以本文将重点在借鉴台湾关于不动产证券化及其信用风险管理的研究成果的基础上,结合内地国情对不动产证券化信用风险产生的原因、制约因素以及如何防范进行阐述和分析,为在不动产证券化领域的投资者的提供一定价值的控制风险的依据。信用风险义称违约风险,是指借款人、证券发行人或交易对方因种种原因,不愿或无力履行合同条件而构成违约,致使银行、投资者或交易对方遭受损失的可能性。由于不动产投资信托(reale state investment trust,REIT)复杂的组织结构,REiTs中的信用风险也存在于不同的主体之中,本文将REITs信用风险分为三个板块,分别从发起人信用风险、特殊目的机构(Special Purpose Vehicle,SPV)信用风险、以及基础资产池(Pool of Underlying Assets)信用风险三个主体出发,分别探讨各个主体中信用风险的来源、存在形式以及风险管理措施等内容。其中,对于资产池信用风险,本文进行了定量分析,选取台湾现存的六档REITs的数据,运用Credit Metrics模型对REITs资产池信用风险进行量化,得到REITs的VaR风险价值。最后,对广东省江门市光博汇项目做出REITs设计。
[Abstract]:Since 70s, a series of new financial products have emerged in the western financial market, such as some new financing methods, payment and clearing means, management methods and new financial organization forms. In this case, real estate securitization, as one of the most distinctive innovation of various new financial products, has successfully created a model. The combination of real estate and financial industry not only brings vitality to the financing of real estate investment, but also makes the concept of corporate and personal financing up to a new height. In recent years, the sustained and rapid development of our economy and the acceleration of the demand for infrastructure have made the related financial services for real estate. The demand is growing rapidly. From the perspective of the growth conditions and the capital demand of the development of China's pre market capital market, China has already possessed certain foundation for developing the securitization of real estate.
The characteristics of real estate securitization decide that it is a complex structural financial project with a high degree of marketization and a large number of participants. At the same time, because of the concentration of risk, it needs a very strict transaction process. Therefore, the structural benefit of the real estate securitization is remarkable, but at the same time its risk is also complex and changeable. Therefore, How to analyze, measure and control the risk of the real estate securitization in China, and how to implement the real estate securitization in accordance with the national conditions of our country, has become a research subject with both theoretical and practical significance.
In the historical process of the development of the real estate securitization in Asia, the development of the real estate securitization in Taiwan is the fastest. Compared with the United States and Japan, the Taiwan region and the mainland have a common social and historical tradition, similar legal system and economic environment, so this article will focus on the reference to the real estate securitization in Taiwan and its application. On the basis of the research results of credit risk management, the reasons for the credit risk arising from the real estate securitization, the restrictive factors and how to prevent the credit risk management are expounded and analyzed on the basis of the research results of the credit risk management, which provide the basis for the investors to control the risk in the real estate securitization field.
Credit risk means that default risk refers to the possibility that the borrower, the issuer, or the other party is not willing or unable to perform the contract conditions for a variety of reasons, causing the banks, investors or trading parties to suffer losses. Because of the complex organizational structure of the reale state investment trust (REIT), REiTs The credit risk also exists in different subjects. This paper divides the REITs credit risk into three parts, respectively from the initiator's credit risk, the Special Purpose Vehicle (SPV) credit risk, and the basic asset pool (Pool of Underlying Assets) credit risk, respectively. The source of the risk, the form of existence and risk management measures, among which, for the asset pool credit risk, this paper carries out a quantitative analysis, selects the data of the existing six REITs REITs, quantifies the credit risk of the REITs pool using the Credit Metrics model, and obtains the VaR risk value of REITs. Finally, the Jiangmen city of Guangdong Province The project makes REITs design.
【学位授予单位】：五邑大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】