基于蒙特卡洛模拟的鹏华前海万科REITs估值风险研究

发布时间：2018-01-07 00:45

本文关键词：基于蒙特卡洛模拟的鹏华前海万科REITs估值风险研究　出处：《上海师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：2015年6月26日,国内首只公募房地产信托基金(REITs)产品——鹏华前海万科REITs在深交所公开发行,这意味着公募基金的投资范围扩展到不动产领域,同时给投资者提供了除现金、股票、债券外的另一种资产配置方式。然而,作为我国第一支公募发行的REITs产品,鹏华前海无论投资标的,还是运作机制,都有此前有过的传统基金不同。笔者认为有必要从估值风险的角度对其展开深入研究。为了定量分析我国公募REITs在资产估值过程中存在的风险,提供科学的风险分析方法,笔者试图将蒙特卡洛方法应用于项目现金流风险预估中。首先,以研究背景与意义作为本文的出发点,并结合相关REITs的文献综述,进而过渡到本文的研究对象——“鹏华前海万科REITs”案例上,笔者对于案例选取的依据、数据搜集的过程以及本文研究的假设做出了相应的分析。接下来笔者介绍了“鹏华前海万科REITs”的基本情况,着重考虑案例中资产估值的方式。然后,笔者在原始估值模型上考虑了更多的风险参数,建立引入不确定性参数的估值模型,并对各参数参照第三章给出的概率分布假设进行蒙特卡洛模拟实验;最后,根据模拟结果进行分析,得出的每份基金价格比当前的成交价格稍低。说明鹏华前海万科REITs有一定的估值风险。
[Abstract]:In June 26, 2015, China's first public offering of real estate trust fund (REITs) - Penghua Qianhai Vanke REITs in Shenzhen public offering, this means that the expansion of the scope of public fund investment to the real estate sector, also offer investors in cash, stock, another asset allocation bonds. However, as China's first public offering of REITs products, Peng Qianhai regardless of investment targets, and operation mechanism, has previously had the traditional fund. The author thinks that it is necessary to conduct in-depth research from the perspective of risk valuation. In order to quantitatively analyze the risks existing in the valuation of assets in the process of China's public offering of REITs. Scientific risk analysis method, the author tries to apply the Monte Carlo method is applied to project cash flow risk prediction. Firstly, the research background and significance as the starting point, combined with the related REITs The literature review, and then transition to the research object of this article -- "Qianhai Peng Vanke REITs" case, the case selection basis, data gathering and the hypothesis of this research has made the corresponding analysis. Then the author introduces the basic situation of Qianhai Peng Vanke REITs ", focus on the valuation of assets in the case of the way. Then, I consider the risk parameters more in the original valuation model, establish the valuation model of uncertain parameters, the probability distribution and with reference to the third chapter gives the parameters of the hypothesis by Tekalo simulation experiment; finally, according to the analysis of the simulation results, the price of each fund is slightly lower than the current price. That Qianhai Vanke REITs have Penghua valuation risk.

【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F299.233.4;F832.51

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