违约风险下的商业房地产租赁的定价分析-pricing analysis of commercial real estate leasing under default risk.docxVIP

华中 华中科技大学硕士学位论文 II II Abstract The real estate industry plays an important role in the national economy and has become a pillar industry in China. Commercial real estate investment is very popular in the world. Most investors put 80% of the real estate investment into commercial real estate. The income of commercial real estate investment is mainly from rent. Therefore, the research of pricing of commercial real estate lease contracts has a very practical significance for both government and investors. In this paper, there is a default risk in commercial real estate lease contracts. In this case, we introduce a reduced form model framework of credit risk to study commercial real estate lease contracts. Combining the characteristics of commercial real estate leasing assets after default, we consider the re-lease of the lease default in the lease pricing. Then we proposal a pricing model with default risk and re-lease. Furthermore, we discuss the deterministic and stochastic case of re-lease interval. We give the specific forms of the lease model and draw the analytical solutions in both cases. In addition, this paper pointed out that there is bias in solving of the lease model with default risk (A-Y model) presented by Ambrose and Yildirim (2008). We have come to the amended rental pricing result and the deviation of the A-Y model rental pricing results through the derivation of the calculation. Finally, by the estimate of the instantaneous forward rate and some parameters in reference literature (Jarrow and Yildirim(2003), Ambrose and Yildirim (2008), Schirripa(2009)), we use MATLAB to analyze the amended rental pricing results, re-lease rental pricing results and the impact of parameters. The re-lease has a significant impact on rental pricing and rental term structure of the lease contract with default risk. Therefore, ignore of re-leasing issues in commercial real estate lease contracts will bring the deviation of the rental pricing. Keywords：Commercial Real Esta