【作者】 陈俊尧；

【导师】 殷仲民；

【作者基本信息】 西安理工大学 ， 技术经济及管理， 2007， 硕士

【摘要】 随着加入WTO后我国银行业务对外资的不断开放,不良资产这个沉重的包袱已成为我国商业银行应对外资银行挑战的一个主要拦路石。因此,对我国银行业来说,当务之急就是要尽快解决好不良资产的处置问题,而在处置过程中如何对不良资产进行合理的定价则是不良资产处置的一个核心问题。在探讨如何对不良资产进行合理定价这一难题中,许多专家和学者进行了很多有益的探索。但到目前为止,不良资产在处置过程中的定价问题并没有一个普遍让大家接受的、成熟的方法,迫切需要我们对此进行更深入的探讨。论文首先在界定不良资产和实物期权相关概念的基础上,通过对国内外关于不良资产处置定价现状的研究,探讨分析了当前不良资产处置定价中存在的问题;其次,对不良资产的处置流程进行了分析,指出了在不良资产处置过程中所存在的两种风险——投资者所面临的信息不对称风险和资产价格波动风险,在此基础上,探讨了将实物期权理论引入不良资产处置定价过程的理论设想和处置框架,并分析了AMC1不良资产中债务企业的整体价值构成——债务企业现实资产价值和由于AMC处置灵活性所带来的期权价值;再次,以债务企业现实资产价值和由于AMC处置灵活性所带来的期权价值为基础,利用收益现值法计算AMC不良债权企业的现实资产价值,实物期权定价方法计算期权价值,建立了AMC不良资产处置定价中债务企业整体价值的评估模型,然后以长城资产管理公司在处理不良资产时的案例——上海新隆公司为例,介绍了评估模型的应用;最后,通过论证得出了实物期权的引入不仅可以有效规避投资者所面临的信息不对称风险和资产价格波动风险,而且还可以增加AMC的处置机会和成交价格的结论。论文的研究成果为AMC不良资产处置定价问题提供了一种新的解决思路。更多还原

【Abstract】 With the business of bank in domestic constantly opening up to the foreign capitals after accessed to WTO, non-performing assets-the heavy burden has becoming the obstacle which hindered the commercial bank in domestic challenging the foreign bank. So the priority task for the bank in domestic was handling the non-performing assets as soon as possible, but how to set up a rational price to the non-performing assets is a key to the non-performing assets’handling. During discussing the subject that how to give a rational price to the huge non-performing assets, many experts and scholars have carried on a lot of helpful exploration, but up till now, we haven’t a popular method which can be generally accepted, then need us carrying on a deeper discussion urgently.At first, on the basis of defining the conception of non-performing assets and option of material object, this text conferred the question which existing in the pricing of the non-performing assets’handling at present after analyzed the situation of the non-performing assets’pricing in domestic and abroad; Secondly, we analyzed the procedure of the non-performing assets’handling, and pointed out that two kinds of risks that exists in the course of the non-performing assets’handling—the risk of information asymmetry and fluctuating of assets’price which investor faced, on this basis, this text brought up the envisage and frame which drawn option theory of material object into the pricing of the non-performing assets’handling, and analyzed the value’s constitute of debt venture which belong to AMC—the value of real assets and the value of option because of AMC handling the non-performing assets flexibly; Once again, on the basis of the value of real assets and the value of option because of AMC handling the non-performing assets flexibly, we calculated the realistic value of non-performing assets by using the present value law of incomes and the value of options by using the method of the pricing of option, and then set up the whole value’s assessment model of debt venture in AMC, After that, with the case of THE XINLONG COMPANY which theGreat Wall asset management corporation dealing with, introduced the assessment model’s application; At last we obtained the conclusion that material object option’s importing can evaded the risk of information asymmetry and fluctuating of assets’price which investor faced effectively, and also increased the chance of handling and raised the bargain price to AMC. The studying result of this text will offer a new thought to the pricing problems of debt venture while making pricing to the non-performing assets of AMC.更多还原