违约风险下的商业房地产租赁的定价研究

发布时间：2018-01-10 02:33

本文关键词：违约风险下的商业房地产租赁的定价研究　出处：《华中科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：房地产行业在国民经济中起着重要的作用，已成为我国的支柱性产业。商业房地产投资是全球风，投资者在房地产投资中有80%的投资金额是投入了商业房地产。商业房地产投资收益主要来源于租金，，因此，商业房地产资产的租金定价研究对于政府和投资者具有重要的现实意义。本文考虑商业房地产租赁合约存在的违约风险，引入信用风险的风险率模型框架研究商业地产租赁合约的定价。结合商业房地产租赁资产在违约发生后的新租户到达，在租约定价中考虑租赁违约的再租赁问题，提出了一个违约风险下的再租赁租约定价模型，讨论了再租赁时间间隔的确定性和随机性情形，分别就这两种情况推导、分析了再租赁模型，并给出模型租约定价的解析解和证明。此外，本文指出Ambrose和Yildirim (2008)提出的有违约风险的租赁模型(A-Y模型)求解中存在偏误，并通过推导计算给出修正后的租金定价结果，得出A-Y模型租金定价结果的偏差。最后，估计瞬时远期利率并结合Jarrow和Yildirim(2003)、Ambrose和Yildirim (2008)及Schirripa(2009)估计的参数，运用MATLAB编程分别给出修正后A-Y模型和再租赁模型的租金定价结果及利率波动率、违约风险率、损失率等对定价结果的影响分析。研究显示再租赁问题对有违约风险的租赁合约的租金定价及租金期限结构有显著的影响。因此，如果在商业房地产租赁中若忽略再租赁问题，将带来租金定价的偏差。
[Abstract]:Real estate industry plays an important role in the national economy and has become a pillar industry in China. Commercial real estate investment is a global trend. Investors in real estate investment in 80% of the amount invested in commercial real estate. Commercial real estate investment income is mainly derived from rent, so. It is of great practical significance for the government and investors to study the rental pricing of commercial real estate assets. This paper considers the default risk of commercial real estate leasing contract. This paper introduces the risk rate model framework of credit risk to study the pricing of commercial real estate leasing contract, combined with the commercial real estate leasing assets after the default of new tenants arrive. In this paper, a release pricing model with default risk is proposed, and the certainty and randomness of the time interval between releases are discussed. In this paper, the release model is analyzed, and the analytical solution and proof of the model lease pricing are given. This paper points out that there are some errors in solving the leasing model with default risk proposed by Ambrose and Yildirim 2008). And through the derivation calculation gives the revised rent pricing result, obtains the A-Y model rent pricing result deviation. Finally. Estimate the instantaneous forward rate combined with Jarrow and Yildirim 2003). Parameters estimated by Ambrose and Yildirim (2008) and Schirripaw (2009). The effects of the modified A-Y model and the re-lease model on the pricing results are given by using MATLAB programming. The effects of interest rate volatility, default risk rate and loss rate on the pricing results are analyzed respectively. The research shows that the release problem has a significant impact on the rental pricing and the rental term structure of the lease contract with default risk. Therefore, if we ignore the release problem in the commercial real estate lease. Will bring about the deviation of rent pricing.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.23;F832.49;F224

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