基于分布单项不良资产定价决策_王建军.pdfVIP

2007 5 M ay, 2007 26 3 A pp l cat on of Stat st cs and M anagem en t V ol26 N o3 : 1002- 1566( 2007) 03- 0495- 08 Beta- PERT 1, 2 2 1, 2 王建军 徐伟宣 张 勇 ( 1. , 230026; 2. , 1000 80) : 目前不良资产已经成为中外投资机构的一个投资方向而不良资产作为一种不 带来正常 收益的资产, 其自身及处置的过程中都蕴含着多种风险投资机构在购入不良资产之前, 需要对 资产的风险进行估计, 结合本机构的风险策略来进行定价决策本文从分析不良资产的风险来源 出发, 引入 Beta- PERT 分布来拟合不良资产处置价格的概率分布, 并考虑投资机构对风险控制的 要求, 建立了投资机构购入单项不良资产的定价决策模型最后给出 一个算例, 具体说明了模型 的应用和求解过程 : 概率论; 定价; 决策; 不良资产; 风险 Beta- PERT 分布 : O 212 : A Purchasing a N on- p erform ing A sset: Price D ecision B ased on B eta- PERT D istribution 1, 2 2 1, 2 WANG J anjun , XU W e xuan , ZHANG Y ong ( 1. Bu s ness Schoo l, U n vers ty of Sc ence T echno logy o f Ch na, H efe 230026, Ch na; 2. Inst tute o f P o l cy andM anagement, Ch nese A cadem y of Sc ences, Be j ng 100080, Ch na) A bstrac t: N ow adays non - perform ng asse ts have become popular among fore gn and dom est c nvest nst tut ons. T here are m any k nds o f r sks n non- perform ng assets, so nvest nst tut ons need to eva luate the r sks before pur- chas ng and m ak ng dec s ons on purchase pr ce acco rd ng to the r ow n r sk strateg es. T h s ar t c le beg ns w th the a- nalys s of the r sk sources o f non- pe rform ng assets, and u ses beta- PERT d str but on as the probab l ty d str but on o f the d spos ng pr ces. T ak ng nto cons de rat on the nv est nst tut ons dem and on r sk contro l, a dec s on m ode l on the pu rchase pr ce o f one p ece of no