基于风险度量理论的项目融资租赁租金偿还模式优选研究

分析了项目融资租赁中3种租金偿还模式下租金回收的特点及出租人所得的净收益,阐述了风险度量理论的基本方法并建立了租金偿还模式优选的风险度量模型,最后通过一个算例验证了应用该模型进行租金偿还模式优选时能够很好的将收益和风险结合起来,为出租人提供了一个有效的决策依据.     

融资租赁与中小企业融资

租赁是指在约定期间内,出租人将资产使用权让与承租人以获取租金的契约行为,即约定资产的所有者(出租人)在一定时期内,将资产交付承租人使用,承租人在规定期间内分期支付租金,并享有对资产的使用权。根据租赁的期限和租赁双方权利义务关系的不同,租赁可分为经营租赁和融资租赁两大类。经营租赁也称服务性租赁、营业租赁或业务租赁。它是为了获得某项资产的短期使用权以及出租人所提供的专门技术服务而形成租赁形式。融资租赁也称金融租赁或财务租赁,是出租人按照承租人的要求,出资购买预定的资产,然后将资产租给承租人长期使用的租赁形式。 …     

当代西方微观金融理论主要成果评述

本文的目的是对20世纪50年代发展起来的现代微观金融理论的主要成果作一个总结性的评述，其中包括有效率的市场理论、马科威茨(Markowitz)的资产组合理论、莫迪格利安尼(Modigliani)和米勒(Miller)的资产结构理论(M—M定理)、资本资产定价模型CAPM、套利定价理论APT以及布来克和斯科尔斯(Black and acholes)的期权定价模型。     

深入解析委托租赁交易模式流程与风险

随着全球经济的发展和商业活动的增加,租赁行业逐渐成为一种重要的商业模式。传统的出租人和承租人之间的租赁合同关系无法满足一些特殊的租赁需求和风险分担要求。委托租赁模式的出现,使得那些希望投资租赁资产但不希望自己直接经营的人可以选择将资产委托给专业的融资租赁公司。通过深入解析了委托租赁交易模式,探讨了其作为一种创新租赁方案,如何合理利用资产。委托租赁交易模式旨在通过将资产委托给专业的租赁管理公司,实现资产的有效利用和最大化价值。     

基于资本资产定价模型的PPP项目合理回报率研究

PPP项目围绕基础设施和公共服务项目构建政府和社会资本之间的长期合作关系， 在决策或招标阶段制定合理的投资回报水平是建立政企之间长期合作的关键工作， 事关公正、公平和项目可持续健康运营。本文基于资本资产定价（CAPM） 和加权平均资金成本（WACC） 模型构建资本金和全投资回报率测算模型， 并以污水行业为例， 实证得出了近年来污水PPP项目资本金和全投资回报率合理范围，不仅为污水PPP项目决策提供参考依据， 而且为其他行业PPP项目决策提供模型参考。     

以融资租赁求解资金困境

何为融资租赁 租赁,是指在约定的期限内,出租人将资产使用权让与承租人,以获取租金的协议.租赁可以使承租人及时使用所需资产却无需立即付出大额现金,且能够避免设备快速更新的风险.租赁分为经营租赁和融资租赁.经营租赁是指只转移标的物的占有、使用并通过使用获得收益的权利,而不转让其处分权(即所有权四个权能中的核心权能)的交易.     

供电企业财务风险控制

当前供电企业财务风险的主要存在形式及其原因 资产风险，包括资产质量风险和资产结构风险。资产质量风险主要指企业存在的大量不良资产，如三年以上应收帐款、长期亏损的对外投资、长期闲置的存货和固定资产等；资产结构风险主要表现在流动资产与固定资产的比例失调、速动资产比率失调等。资产风险是电力企业面临的非常普遍、危害性也非常大的风险。如一些供电企业由于外欠电费巨大，加上电价较低等原因，使资产收益率很低，速动资产占固定资产比例很小，存在较高的资产结构风险。     

信用风险监管资本测度优化

在巴塞尔新资本协议框架下的IRB模型基础上,通过违约相关性模型的推导,得出了降低信贷资产组合信用风险加权资产的一些有效途径;通过对同质类资产组合和异质类资产组合的风险集中度调整的方法,提出了风险分散的具体路径;通过由银行的资本总成本最小化约束模型和监管者破产银行数目最小化约束模型联合组成的激励相容模型,将银行出于内部风险管理目的而计算出来的风险价值,同监管当局出于监管目的而要求银行确定的监管资本有效地联系起来。     

资本资产定价模型

资本资产定价模型风险和报酬究竟是什么关系呢？这是４０年来财务管理界一直探讨的一个问题。美国著名财务学家、金融学家Ｗｉｌｉ－ａｍＦＳｈａｒ－Ｐｅ创建了资本资产定价模型，成功地解决了风险和报酬的关系这一重大课题，为此，他获取了１９９０年诺贝尔经济学奖。这...     

人力资本价值的实物期权分析

实物期权是在不确定条件下。与金融期权类似的实物资产投资的选择权。实物期权理论是管理不确定性与风险的重要工具，它是关于实物资产的合约，期权所有者能延迟选择是否对这些资产进一步投资，使资产贬值的风险最小化和资产升值的机会最大化，并因此保持实物资产收益的稳定。实物期权方法适合于投资周期长、投资成本高、投资风险大的投资决策。根据实物期权定价模型，可以较为准确地估算决策时所面临的机会或灵活性（期权），而且还可以根据这些机会或灵活性的因素（或杠杆）来主动调节、控制或增加机会或灵活性的价值，以尽可能降低风险，改善投资的战略决策。     

A Review of: “STATISTICS OF EXTREMES” By Emil J. Gumbel Columbia University Press New York, 1958 375 pp. $15.00

Standard procedures for evaluating future cash flows are to find an appropriate discount rate consistent with the cash flow's risk and then to derive a present value. While discounted cash flows seem appropriate for many instances, finding appropriate discount rates is often difficult, or discount rates may not exist when the risk is actually a function of a decision that requires the cash-flow valuation. We consider two approaches that have been suggested to alleviate this problem: the capital asset pricing model (CAPM) and the risk-neutral pricing arguments from option theory. We discuss the assumptions inherent in these models and show the results on the well-known news vendor model. Our option pricing results correspond to Singhal's [17] results using CAPM and a different valuation procedure for the option pricing model. We, however, derive a simpler expression that clearly illustrates differences from the standard form ignoring risk.     

投资决策中基本折现率的确定及其调整

探讨了公司在项目投资决策中折现率的确定问题。提出了在公司项目投资决策中确定折现率应该采取的步骤:运用资本资产定价模型得到基本折现率,在此基础上考虑特定风险、股东要求的最低收益率、融资限额等因素,对基本折现率进行调整和改进,从而得到进行项目投资决策需要的财务折现率。     

风险贴现率法在工程项目风险决策分析中的运用

风险贴现率法是风险决策分析中常用的方法。章根据工程项目的特点，论述了在工程项目决策中引入风险贴现率法的可能性，以及针对实际情况调整风险贴现率的几种方法，同时也指出了风险贴现率法的局限性。     

Tax Rules and the Sale and Leaseback of Corporate Real Estate

This study examines the effect of the sale and leaseback of corporate real estate on the stock prices of the selling firms. We ask whether the Tax Reform Act of 1986 (TRA 1986) had a negative impact on the market valuation effects of corporate sale and leasebacks. The results of the comparative statics analysis predict that the net present value of the lessee should be negatively related to the tax depreciation recovery life for the lessor and to the marginal ordinary income tax rate of the marginal holder of commercial mortgage debt. However, it should be positively related to the marginal tax rate of the equityholder of the corporate lessee. Changes in the marginal ordinary income tax rates of the lessor and the corporate lessee have an ambiguous effect on the equity value of the corporate lessee. Nevertheless, results of simulation analyses suggest that the relationship between the net present value of the lessee and each of the tax rates of the lessor and corporate lessee is negative. The empirical evidence suggests that subsequent to TRA 1986, the lessee's benefits associated with sale and leaseback transactions have decreased.     

Commercial Real Estate Leasing, Asymmetric Information, and Monopolistic Competition

We model the choice of lease type, gross lease versus net lease, in an environment in which lessees have private information with respect to their expected intensity of utilization of the leased space, and in which lessors have market power with respect to the pricing of the lease. Unless the lessor can provide operating services at lower cost than the lessee, there exists a lemons problem. We examine a market in which lessors can provide operating services at lower cost. Given asymmetric information with respect to expected lessee utilization and/or damage to the leased space, the lessor offers both a gross and net lease, where the higher expected utilization lessees select the gross lease and the lower expected utilization lessees select a net lease. Lease pricing depends on both the lessor's beliefs with respect to lessee utilization of the space and the lessor's market power. In a monopolistic market, relative to a competitive market, a lessor charges higher rent for a gross lease relative to a net lease in order to extract a portion of the gain from shifting operating services to the lessor. Given the higher rent for a gross lease, a smaller proportion of lessees (only very high utilization lessees) selects a gross lease in a monopolistic market. Therefore, the expected cost savings associated with shifting operating services/provision of maintenance to the lessor are smallest in a monopolistic market.     

A review of: “REAL OPTIONS: MANAGERIAL FLEXIBILITY AND STRATEGY IN RESOURCE ALLOCATION ” BY LENOS TRIGEORGIS The MIT Press,ISBN: 0-262-20102-X., xiii + 427 pp. List: $52.95.

One of the more controversial aspects of a public utility rate case is the determination of the cost of equity component of the allowed return. In practice, the Capital Asset Pricing Model, CAPM, and the Discounted Cash Flow Model, DCF, are used for this purpose. The difficulties in using the CAPM have been documented elsewhere. This note examines the DCF model.

The DCF implicitly assumes that earnings and dividends are growing at a constant rate. When dividend changes are in discrete jumps, the underlying assumptions of the DCF model have been violated. This note derives a DCF model for dividend changes that occur in discrete jumps.     

Prepayment Risk in Adjustable Rate Mortgages Subject to Initial Year Discounts: Some New Evidence

This paper uses microlevel data to examine recent prepayment performance of adjustable rate mortgages (ARMs) employing the competing risk methodology developed by Deng, Quigley and Van Order (2000). We find support for the teaser rate and adjustment date effects implied by the theoretical model of Kau et al. (1993). In addition, we find that teased ARMs bear prepayment risk related to their discount, contrary to results reported by VanderHoff (1996) and Green and Shilling (1997). Finally, and contrary to the usual finding for fixed-rate mortgages, we find that loan age has a negative effect on prepayment risk for ARMs, consistent with the phenomenon that borrowers with high mobility and/or propensity to refinance exit the pool early.     

被征地农民参加城镇企业职工基本养老保险的影响研究

运用模型模拟了不同的工资增长率、利率以及养老金年递增率下被征地农民参加城镇职工基本养老保险对城保的影响。研究发现,当工资增长率和利率差距不大,且养老金年递增率维持在一个较低的水平时,将被征地农民纳入城镇企业职工基本养老保险并不会产生巨大的资金缺口,因而其影响是中性的。但目前我国工资增长率要远远高于利率,将被征地农民纳入城镇企业职工基本养老保险将会产生较大的资金缺口,因此将被征地农民纳入到＂城保＂一定要量力而行,已纳入的地区需要通过增加投资渠道等方式提高养老保险基金投资回报率,减少基金缺口。     

Duration and the Risk Adjustment of Discount Rates for Capital Budgeting

Capital budgeting applications frequently necessitate the use of a discounting methodology to allow for time value of money, supplemented by payback calculation to assess liquidity risk. This paper explains how both concerns can be addressed in a single process by using duration measure in making discount rate adjustments which allow for the timing of the expected cash flows.     

COST EFFECTIVENESS— The Economic Evaluation of Engineered Systems Edited by J. Morley English John Wiley and Sons,Inc.

In this case study four actual energy efficiency projects are analyzed with two traditional engineering economy capital budgeting methods - internal rate of return and payback period - and the results compared with those obtained using the capital asset pricing model (CAPM). The alternative scenarios of the future states-of-the-world necessary for the latter are based on information available in Department of Energy reports. The traditional and CAPM approaches result in different economic conclusions for some of the projects. These differences are analyzed and the implications for certain types of improvement projects and equipment replacement problems as well as financial decision-making in general are discussed.