摘要
我国房地产业经过近二十年来的发展,已经成为关系国计民生的重要支柱产业之一。房地产发展过程中对资金的大量需求,在筹融资渠道以及投资渠道相对单一的经济环境下,导致其对银行金融的严重依赖,风险过分集中于国有及新兴股份制商业银行。股市融资、债券融资、信托融资的门槛也未解决该产业飞速发展产生的对资金的渴求。为此,进一步推动房地产业从间接融资向直接融资的加速转变,开辟探索新的融资渠道便成为产业发展的必然要求与客观趋势。
从1980年到2005年的25年间,全球私募股权基金(简称PE)以爆炸式的速度增长,基金规模接近1万亿美元。2006年私募股权基金在美国的筹资额达3600亿美元,在企业融资方面,2006年通过美国三大股市的企业融资额为1540亿美元,而向私募股权基金的融资额度则达到1620亿美元,这是私募第一次超过股市成为最主要的融资手段。2007年上半年,美国私募股权基金资产就增加1370亿美元,较2006年同期增长42%,同时其中的1/4的公司年均回报率达39.1%,回报率普遍高于标准普尔500指数同期12.3%的平均回报率水平。私募股权基金已经成为促进美国乃至全球经济增长的重要动力。在我国2005年末开始的股市热潮中,“私募”和“基金”通过证券市场更多的进入人们的视野,而这种以私募形式筹资并投资于股票二级市场的基金不同于本文所述的主要投资于非上市的股权或企业控制权的私募股权基金。
私募房地产股权投资基金(以下本文中简称“私募房基”)是私募股权投资基金的一个分支,在国外近20年来的经济实践中作为最重要的房地产金融创新工具之一而发展迅速,并逐渐被引入国内的研究视野与操作实践当中。2007年爆发的美国次贷危机以及由其引发的全球金融风暴(海啸、危机)暴露出的包括私募房基在内的市场风险不容忽视,并对私募房基风险管理提出了新的研究课题。作为新兴金融工具,国内私募房基的理论研究与实践操作尚属刚刚起步,认真把握其良好的发展方向与发展前景,借它山之石,明鉴国外的经验与教训,未雨绸缪加强国内私募房基整体风险管理的研究显得很有必要。
但目前国内尚无私募股权基金整体风险管理的系统研究,更无针对私募房基整体风险管理的理论研究,即使在国外也多是将其作为私募股权基金的分支笼统涵盖。因此,基于借鉴与利用的思路,本文尝试性参照巴塞尔银行监管委员会(Basel Banking Supervision Commission简称BBSC)风险管理程序和COSO(The Committee of Sponsoring Organizations of The National Commission of Fraudulent Financial Reporting全国虚假财务报告委员会下属的发起人委员会的英文缩写)整体风险管理框架,意欲结合我国房地产业的发展、宏观、微观经济环境、政策法律环境与私募房基的风险特征,探讨国内私募房基风险产生的经济机理,并通过新的整体风险度量方法以构建国内私募房基风险度量模型框架,且在归纳总结国外相关经验的基础上较为完整地提出国内私募房基风险控制的措施和体系,从而希望较系统地回答“国内私募房基的未来发展中应怎样进行风险管理”这个理论和实践相结合的重要问题。
全文由七章组成,主要内容和观点如下:
第一章,绪论。陈述论文选题的理论意义、现实意义与国内外研究现状、介绍论文研究思路与结构框架,论文可能的创新点与存在的不足。
第二章,私募房地产股权投资基金的发展。第一部分从内涵和外延方面探讨私募房基的概念界定、业务范围、主要特性和主要分类。第二部分从国外房地产信托基金(REITs)的发展演变,比较国外契约型REITs、公司型REITs这两种组织形式与房地产投资基金的关系,介绍国外私募房基产生和发展的历程。为了应对激烈的市场竞争和房地产市场的低迷,国外新设立的房地产基金参照房地产有限合伙基金在资金来源方面的优点,采用有限合伙型的集合投资形式,从而能在经济低迷时期实现相对稳定的长期投资;同时,它们也结合了第二类权益型REITs在资金运用方面的特点,通过投资于房地产公司股权间接投资于房地产实业资产,从而实现较高的投资收益率。这些新设立的房地产投资基金成为有限合伙型私募房基的雏形,并逐步发展为美国私募房基的主流形式。在1987-2007年中,美国私募房基在数量、规模和筹资等方面得以迅速增长,日本、英国和其它欧洲国家也大量出现面向全球市场的私募房基。
第三章,国内发展私募房基的必然性与可能性。这是本文立论的基础,本章结合制度供求的观点,从产业发展与升级、拓宽投、融资渠道几个方面来理解决定私募房基这种金融组织制度需求的主要因素。从融资者角度看,房地产业经过近二十多年的发展已经成为国民经济的支柱产业,尽管自2007年下半年以来至今,由于宏观调控下的银根紧缩和其它融资渠道相对受限造成了房地产企业资金链极其紧张,行业暂时进入阶段性调整但仍有广阔的发展前景,而行业调整过程必然促使房地产业改善和加强自身薄弱的微观基础,通过实现产业升级来解决所面临的问题与挑战,因而国内房地产企业客观上非常需要包括私募房基在内的新兴投融资制度。从投资者角度看,由于国内金融投资需求旺盛,而储蓄、股票、债券、外汇和黄金等金融产品的风险收益特征相对较差,因而投资者(尤其是富有阶层)更加关注包括私募房基在内的新兴房地产金融投资方式。从监管层角度看,私募房基有利于降低房地产企业过高的资产负债率,有利于降低国内商业银行的房地产信贷风险,同时也有利于促进房地产业健康稳定发展,因而国内金融监管当局也需要大力发展私募房基在内的新工具来促进房地产业的健康发展。2007年颁布实施的新《合伙企业法》增加了有限合伙制的内容,从法律意义上为萌芽中的国内私募房基以及广义的私募股权基金的发展打开了通道,而国外私募房基凭借相对成熟的运营模式涌入国内房地产市场的事实,使得借鉴国外经验逐步改变国内房地产资本市场单一局面成为可能。以金地、国美、鼎辉为代表的国内私募房基刚刚起步。应当看到,发展私募房基不是简单地为了规避宏观调控中化解房地产泡沫,紧缩房地产信贷而采取的另辟途径的“花样”措施,因为它的发展从根本上有利于降低银行累积的房地产金融风险、有利于拓宽房地产融资渠道、有利于平抑房地产泡沫、有利于促进房地产业升级与健康稳定地发展。
第四章,私募房基风险的产生机理。首先,简要叙述美国次贷危机的发展背景、成因及风险传导机制。2001年以来,为消除新经济泡沫破灭的影响,房地产投资、消费成为当时由格林斯潘领导的美联储鼓励的热点,宽松货币政策下的持续低利率导致流动性全球过剩,房地产价格上涨显示的巨大财富效应,一方面支撑了美国经济的强劲增长,另一方面也在收入与信心增强的狂热中,金融机构风险管理失当,次级按揭贷款大量发放,资产证券化过程中MBS、CDO等金融信用衍生工具助推加速并引爆房地产泡沫且导致危机的蔓延。华尔街崩溃、全球大量金融机构倒闭、实体经济受到严重侵害,各国全力救助下仍面临经济倒退的影响并且前途未料。这场风暴给房地产金融风险管理重重地敲响了警钟,也成为本文提出研究私募房基风险管理的又一出发点。
其次,国外私募房基尽管已经发展了20多年,但对其风险管理的研究仍只是归类于私募股权基金风险管理研究的大范畴,而没有专门针对私募房基的风险特征来进行细分研究。为此,在巴塞尔银行监管委员会关于风险管理程序的四个环节和COSO关于企业整体风险管理框架的基础上,结合私募房基风险管理特征,本文结合私募房基的宏观、微观经济环境和政策法律环境,采用逻辑演绎的方法,运用博弈论、财务管理、金融学、宏观经济学和信息经济学有关知识,探讨了私募房基的市场风险、信用风险和操作风险产生的独特经济机理。一、探讨私募房基市场风险的产生机理。本文认为,经济周期、利率和汇率等宏观经济因素的波动,作为影响国内房地产市场供求变化和房地产企业盈利状况的宏观要素,是私募房基投资市场风险产生的重要原因。金融信贷政策、土地政策、税收政策和产业政策等的调控变化,将直接或间接影响到房地产市场供求、房地产价格、房地产企业资金链状况和成本收益多寡。二、探讨信用风险的产生机理。一方面,信息不对称和信用制度的不健全等因素将影响到被投资房地产企业违约的成本收益博弈,从而产生基于道德风险和逆向选择的主观信用风险。同时,信息不对称和市场风险过大等原因,也可能引起被投资房地产企业丧失守信能力的客观信用风险。另一方面,在私募房基内部,由于基金管理人的寻租行为和机会主义行为等,也可能导致源于私募房基的信用风险。三、探讨操作风险的产生机理。由于法制环境的不完善、不健全,加之房地产投资与私募股权高风险的投资特性,以及私募房基内部控制体系建设不佳等因素,将可能导致私募房基产生法律风险、内部管理缺失风险和不可预测事件风险等操作风险。
第五章,私募房基风险的度量。本文将私募房基看作金融工具,在回顾金融风险度量文献的基础上,本章运用投资组合理论、动态优化技术、Copula函数等工具,以整体风险管理和条件风险值等最新研究成果为起点,通过方法创新提出并构建了国内私募房基风险度量模型的理论思路,并从该理论模型的最优性条件出发,指出私募房基风险控制的主要方向,从而为国内私募房基的风险控制提供思路。首先,从金融风险度量的一般性方法看,市场风险度量方法经历了从名义量法、灵敏度分析、波动性方法到VaR方法及其创新的发展历程,信用风险度量也经历了从专家法、评级法、信用评分法到结构模型、简约模型和创新方法的发展历程。从VaR的基础上发展起来的操作风险度量,主要包括基本指标法、标准法、高级计量法,其中高级计量法又分为内部衡量法、损失分布法、极值理论法和积分卡方法。而整体风险管理的度量仍然以VaR为基础,同时考虑了更多的因素和更广的范畴。其次,从研究起点、模型说明和模型假设开始,本文将CVaR条件风险值和整体风险管理相结合进行了风险度量方法的创新,结合了私募房基市场风险、信用风险和操作风险的特点及其产生的经济机理,构建了私募房基的市场风险和信用风险的边缘分布函数及其联合分布的条件风险值,再根据操作风险的条件风险值求出私募房基的整体条件风险值,并结合有关约束条件构建了私募房基的风险度量模型,且推导出各有关变量和约束条件下的最优解,以及相应经济含义的释义,从而为私募房基风险控制指明了思路和方法。同时,以风险分析和风险度量模型的结论为基础,介绍私募房基的风险值计算系统,根据私募房基及其环境的变化,进行压力测试和回溯测试以检验、修订模型及其参数。
第六章,私募房基风险的控制。在借鉴国外私募房基有关风险控制策略的基础上,阐述了包括分段投资、分散投资、联合投资、担保措施、商业保险和套期保值等私募房基信用风险与市场风险的控制策略。围绕私募房基操作风险的控制策略,通过借鉴国外私募房基的内部控制体系,构建国内私募房基包括内部组织结构、权责分离与制衡、激励约束机制、内部信息系统、风险预警机制和稽核检查制度所组成的内部控制体系,并阐述了内部控制体系中的侧重点。同时,阐述了私募房基包括提高专业化水平、事前风险勘测、适度控制财务杠杆、复合式证券、风险预算限制、合同条款制约、股份调整控制权配置、参与管理咨询、风险承担等预防策略。
第七章,面临的障碍与对策建议。在总结我国发展私募房基面临的法律障碍、税收政策障碍、市场环境等障碍的基础上,提出建立健全法律法规,明确私募房基合法地位与规范运作、明确监管机构加强行业自律、建立完善监管规则等政策建议。
私募基金自诞生起就神秘低调,属于富人游戏,且以独特的盈利模式、高杠杆的资本操作、隐蔽的交易方式及资本来源明显区别于其它基金,其管理和投资的不透明被视为实现高回报的主要条件。故此,研究国内私募房基风险管理这个理论与实践紧密结合的新课题,可参阅的资料甚少,其难度之大超过笔者预想。笔者作为房地产从业人员,工作实践中既亲身体会了银行融资与信托融资的全过程,也在宏观调控政策收紧的背景下,深刻体会到拓宽资金融通渠道对房地产企业拥有核心竞争力的重要性,因而希望通过对私募房基这种全新资金渠道及其风险管理的尝试性研究,实现抛砖引玉的目的。
After nearly twenty years of development, the real estate industry in China has become one of the pillar industries of the national economy and the people’s livelihood. The demand for huge funds called for during the development course of the real estate industry, under the economic circumstances where very few channels are available for fund-raising and financing, has resulted in its over-reliance upon financing from the banks, thus putting the risks almost only on the state-owned banks and the newly established joint-stock commercial banks. As yet, financing through bonds, trusts, and the stock markets has not quenched its thirst for funds due to the industry’s rapid development. For this reason, in order to further accelerate the switch from indirect financing to direct financing, the exploration and opening of new financing channels become an inevitable demand and objective trend for the industry’s development.
During the 25 years from 1980 to 2005, private equity fund (abbreviated as PE) has grown in an explosive way around the world, with its scale close to one trillion US dollars. In 2006, funds raised through PE reached 360 billion dollars in the USA. As for financing for the enterprises in that same year, the total enterprise financing through the three stock exchanges was 154 billion dollars as compared to 162 billion dollars from PE, which was the first time that PE surpassed the stock exchanges as the most important financing avenue. In the first half of 2007, the assets of PE in the USA had increased by the amount of 137 billion dollars, a 42% increase over the same period of 2006. The average annual rate of returns of a quarter of PE firms was 39.1%, higher than the 12.3% average in S&P 500 index over the same period. PE has already become a vital driving force for the economic growth in the USA and around the globe. In China, both“PE”and“Fund”came into people’s view through the securities markets during the upsurge of interest in the stock exchange beginning at the end of 2005. However, that kind of PE, which invests privately raised money in the secondary stock market, is different from the PE discussed in this dissertation, which invests mainly in the non-listed stock rights or corporate controlling rights.
As a subdivision of private equity investment fund and one of the most important innovative financing instruments in the real estate industry over nearly 20 years of economic practices abroad, private real estate equity investment fund (thereinafter abbreviated as“PREE”in this dissertation) has developed quite rapidly and has been gradually researched and put into practice in our country. The US sub-prime mortgage crisis started in 2007, along with the global financial storm (tsunami, crisis) as a direct result of it, has exposed the market risks of PREEs and posed new research topics on its risk management. In our country, the theoretical research on and the practical manipulation of PREE as a new financing instrument have just been started. In order to make sure it will develop in the right direction and has a future, it is essential for us to take necessary precautions through reinforcing the researches on the general risk management of PREE by learning from the foreign successes and failures.
As yet there has not been any systemic research on the general risk management of PE in our country, let alone the theoretical research on the general risk management of PREE. Even in foreign countries, PREE is generally categorized and studied as a subdivision of PE. Therefore, by drawing on the experiences of other countries, this dissertation intends to investigate the economic mechanisms for the generation of PREE risks in our country by making use of the risk management procedures of the Basel Banking Supervision Commission (abbreviated as BBSC)and the COSO (abbreviation of The Committee of Sponsoring Organizations of The National Commission of Fraudulent Financial Reporting) general risk management framework as the reference systems and by taking into consideration of the macro- and micro- economic environments and the policy and law environment of the development of the real estate industry as well as the risk characteristics of PREE. Through using the new general risk measurement method to set up a model framework for the domestic PREE risk measurements and generalizing the relevant experiences abroad to put forward measures and systems for controlling the risks of the domestic PREE in a relatively complete manner, this dissertation hopes to systematically address the question of great theoretical and practical significances, which is“How to Implement Risk Management in the Future Development of the Domestic PREEs”.
This dissertation has seven chapters with its main content and concepts as follows:
Chapter 1, Introduction. This chapter is for the representation of both the theoretical and practical significances of the topics chosen, for the description of the status quo of researches on the topics both at home and abroad, for the introduction to the structural framework of the dissertation, and for the demonstration of possible innovations and shortcomings to be found in the dissertation.
Chapter 2, Development of Private Real Estate Stock Rights investment Funds. The first part discusses the concept demarcation, the business scope, the main characteristics, and the general classification of PREEs from both the intensive and extensive perspectives. The second part introduces the emergence and progress of PREE in some foreign countries by tracing the evolvement of their REITs (Real Estate Investment Trusts) and comparing the relationships between real estate investment funds and the two kinds of REITs, i.e., the contractual REITs and the corporate REITs. In order to react to the fierce competition and the depression of the real estate market, the newly established real estate funds overseas, by using as reference the real estate limited partnership funds that have shown great strengths in capital resources, have normally adopted the congregate investment form with partnership of limited liabilities, thus guaranteeing a relative stability of the long-term investment even during the economic depressions. At the same time, through incorporating the features of the second equity REITs in capital manipulation into their operations, they have also realized a higher rate of returns for their investments by investing indirectly in the real estate industrial capitals through investing in the stock rights of the real estate corporations. These newly established real estate investment funds have become the embryonic form of the partnership PREE with limited liabilities, and gradually developed into the mainstream form of PREE in USA. From 1987 to 2007, PREEs in USA have seen rapid growth in numbers, scale, and financing. And a lot of PREEs with the global market in their view have also sprung up in Japan, UK, and other European countries.
Chapter 3, Necessity and Possibility for the Development of Domestic PREEs. They are the very bases for all the arguments in this dissertation. By incorporating the principles of the system supply and demand, this chapter explains the main factors for determining the demand of PREE as a financial organizational system through aspects such as developing and upgrading the industry, broadening the channels for both investment and financing, and others. From the viewpoint of someone who needs financing, the real estate industry has already become the backbone industry of the national economy after the development of nearly 20 years. Ever since the second half of 2007 up to now, the tight money policy and the limited availability of other financing channels under the macro adjustment and control have put an extremely heavy strain on the working capital flows of the real estate companies, temporarily bringing the industry into a periodic adjustment. However, the industry still enjoys broad prospects for development. The adjustment process of the industry will certainly bring about the improvement and strengthening of its weak micro foundation, and force the industry to solve the questions and challenges it is facing through the realization of the industrial upgrading. Therefore, from an objective perspective, there is a strong and urgent need for a new system of investment and finance, including PREE, from the domestic real estate enterprises. From the viewpoint of investors, due to the vigorous domestic demand for investment and finance and the relatively poor returns of the existing financial products such as savings, stocks, bonds, gold, and foreign exchanges, investors, especially those from the wealthy classes in society, become more and more interested in the new ways, PREE included, for investing in and financing for the real estate industry. From the viewpoint of supervisors, PREE helps in reducing the high ratio of assets over liabilities for real estate enterprises and in reducing the credit risks of real estate loans for the domestic commercial banks. In the meantime, PREE also facilitates the healthy and stable development of the real estate industry. Therefore, the domestic financial supervising authorities need to forcefully promote the development of the new financial instruments with PREE included to facilitate the healthy development of the real estate industry. The Partnership Enterprise Law, promulgated and implemented in 2007, with its addition of content regarding partnership with limited liabilities, has opened up new ways for the development of the burgeoning domestic PREEs and the broad private stock rights funds in the legal sense. The fact that foreign PREEs have already made inroads into the domestic real estate market with the help of their relatively mature operational models, has made it possible for us to gradually change the monotonous domestic capital market for the real estate industry by learning from those foreign PREEs. The domestic PREEs, with Jindi, Guomei, and Dinghui as prominent examples, have just taken off. It deserves to be noticed that the purpose for developing PREEs is not simply to eliminate the real estate bubbles by exploiting some unconventional arcane measures under the tight real estate credit to circumvent the macro adjustment and control. Fundamentally, the development of PREEs will go a long way towards reducing the accumulated real estate financial risks of the banks, expanding the investment and financing channels for the real estate industry, leveling off real estate bubbling prices, facilitating the industrial upgrading, and promoting the healthy and stable progress of the industry itself.
Chapter 4, Mechanism for Generating PREEs Risks. First of all, this chapter accounts summarily for the background, the causes, and the transmission mechanism of risks of the US sub-prime mortgage crisis. Since 2001, in order to eliminate the impact of the bursting of the neo-economic bubbles, consumption and the real estate investment had become two economic hot spots encouraged by the Federal Reserve under the then-chairman Greenspan. The continuous low interest rate under the loose monetary policy led to a global overflow of liquidity. On one hand, the huge wealth effect triggered by the increase of real estate prices propped up the vigorous growth of the American economy. On the other hand, under the fever of income and confidence growth, the sub-prime mortgage loans were extended in large amounts due to the lack of risk management by the financial institutions. During the course of securitizing assets, financial and credit derivatives such as MBS and CDO accelerated the spread speed of the risks and finally triggered the explosion of the real estate bubbles. The meltdown of the Wall Street and the closedown of a huge number of financial institutions around the world caused great harm to the real economy. While the governments scrambled to salvage their respective economy, the world economy was still faced with the threat of depression and an uncertain future. This financial storm has sounded a wakening alarm for the financial risk management of the real estate industry. It has also become another starting point in this dissertation to put forward the risk management of PREEs for an in-depth research.
Secondly, in spite of over 20 years of PREE development in foreign countries, the research on its risk management still falls into the broader categorization of research on the risk management of private stock rights funds, without any specific research targeting the very characteristics of PREE risks. Based upon the four links of the risk management procedures of the Basel Banking Supervision Commission and the general corporate risk management framework of COSO, by incorporating the characteristics of PREE risk management, this dissertation explores the unique economic mechanisms responsible for generating the market, credit, and operational risks of PREEs by making use of the logical deduction and the relevant knowledge of gambling, financial management, finance, macroeconomics and information economics and by taking into consideration the macro- and micro- economic environments and the policy and law environments of PREE. First, the mechanism for generating the market risks of PREES is explored. It is believed in this dissertation that economic cycles and fluctuations of interest rates and foreign exchange rates, the very macro-economic factors impacting the supply and demand of the real estate market and the profitability of the real estate enterprises in our country, are the important factors for generating the market risks of PREEs. The regulatory changes in the financial credit policies, land policies, taxation policies, and industrial policies will have a direct or indirect impact on the real estate market, such as the supply and demand, property prices, and the corporate working capital flow and profitability. Second, the mechanism for generating the credit risks of PREES is explored. On one hand, Factors such as the information dissymmetry and the unsound credit system will impact the gambling of cost versus yield for investments in real estate enterprises, thus giving rise to subjective credit risks stemming from moral risks and inverse selections. In the meantime, factors such as excessively high market risks and the information dissymmetry will probably generate objective credit risks, which are the loss of ability to keep faith on the part of the real estate enterprises being invested. On the other hand, the internal credit risks inside PREEs will probably be generated due to the rent-seeking and opportunist behaviors of the fund managers. Third, the mechanism for generating the operational risks of PREES is explored. The operational risks such as the legal risks, internal management deficiency risks, and contingency risks could probably be triggered due to the imperfect and unsound legal environment, the high risk investment features of real estate investments and private stock rights funds, and the inefficient internal regulatory system etc.
Chapter 5, PREEs Risk Measurement. PREEs are regarded as one kind of financial instruments. By reviewing documents on financial risk measurement, with the latest researches such as the general risk management and conditional risk values as the starting point, this chapter proposes and establishes the theoretical thinking for the domestic PREEs risk measurement model by application of innovative methods, such as combinatorial investment theory, dynamic optimization technology, Copula function and so on. From the optimal conditions of the theoretical model, this chapter continues to point out the main trend towards PREEs risk management, thus offering ways of thinking for the domestic PREEs on risk control. First of all, as far as the general methods for financial risk measurement are concerned, the methods for market risk measurement have gone through the nominal approach, sensitivity analysis, fluctuation method, and VaR and its innovations, while the methods for credit risk management have gone through the expertise approach, grading method, credit marking method, structural model, reduced model, and innovative methods. On the basis of VaR, the methods for operational risk measurement have been developed, which mainly include the basic index method, the criteria method, the advanced metrological approach. And the advanced metrological approach can be further divided into the internal judgment method, the distributive method of losses, theory of ultimate value, and scoring card method. The measurement of the general risk management is still based upon VaR with more factors and broader categories being taken into consideration at the same time. Secondly, beginning with the starting point for research, model demonstration, and model hypothesis, this dissertation makes innovations on risk measurement methods by integrating the general risk management into CVaR conditional risk values. By combining the characteristics of PREEs market, credit, and operational risks and their corresponding economic mechanisms, this dissertation establishes the marginal distribution function cluster for PREEs market and credit risks as well as the conditional risk values of their consolidated distribution. Based upon the conditional risk values of the operational risks, the overall conditional risk values of PREEs can be derived. And the model for PREEs risk measurement can be developed by incorporating relevant constraints. From the developed model, the optimal solutions, as well as the explanations of their corresponding economic implications, can be derived under different variables and constraints, thus pointing out the different ways of thinking and methods for PREEs risk control. In the meantime, based upon risk analysis and the conclusions of the risk measurement model, this chapter introduces the calculation system of PREEs risk values. In accordance with the changes of PREEs and its environments, stress tests and regression tests can be conducted in order to verify and revise the model and its parameters.
Chapter 6, PREEs Risk Control. By drawing on the risk control strategies adopted by foreign PREEs, this chapter expounds the risk control strategies for the credit and market risks of PREEs, which involves phase investment, diverse investment, consolidated investment, guarantee measures, commercial insurance and hedge funds. By focusing on the control strategies for PREEs operational risks and learning the internal control systems from foreign PREEs, this chapter attempts to establish the internal control system for the domestic PREEs, which is made up of the internal organization structure, check and balance of power and responsibility, incentive and restraint mechanisms, internal information system, risk pre-warning mechanism, and inspection and examination systems. In addition, the important aspects of the internal control system are given a special emphasis. At the same time, this chapter expounds the prevention strategies for PREEs risks, which include the promotion of professional levels, pre-survey of risks, moderate regulation of financial leverage, compound securities, the restraint of risk budgets, constraints on contract provisions, the disposition of the stock controlling rights, participation of administrative consultation, and risk undertaking etc.
Chapter 7, Obstacles and Counter-Measures. In order to develop PREEs in our country, we will be confronted with a series of legal obstacles, the taxation policy obstacles, and the market environment obstacles. In view of those obstacles, this chapter proposes a series of policy measures as follows: to establish and perfect law and regulations, to define the legal status and operational standards of PREEs, to strengthen the self-discipline of the supervision authorities, and to establish and improve supervisory rules and regulations.
Ever since its inception, private equity fund has been an arcane and low-profile game of rich people. It is distinct from other kinds of funds in its special profit-making model, high-leveraged capital manipulation, hidden transaction methods and capital sources. The lack of transparency of its management and investment is regarded as a prerequisite for the realization of its high returns. For this reason, there are very few reference documents available for the author to do research into the new topic that closely combines the theory and practice of the domestic PREEs risk management, a task whose difficulty is way beyond the author’s anticipation. As an employee of a real estate enterprise, the author has not only learned the entire process of banking financing and trust financing from his own working experience, but also profoundly realized the important role that the broadening of financing channels has played in enhancing the core competition of the real estate enterprises. Therefore, through his tentative research on this new financing channel (PREEs) and its risk management, the author sincerely hopes that further and more valuable researches will follow.
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32、唐国储、李选举:《新巴塞尔协议的风险新理念与我国国有商业银行全面风险管理体系的构建》,《金融研究》,2003年第1期。
33、王静雅:《基于极值理论的尾部相关性探讨及在信用风险领域的运用》,《今日财富(理论版)》,2007年第11期。
34、王敏、程旭芬、周敏李:《房地产公司公司业绩与财务杠杆的实证研究》,《商业现代化》,2007年第19期。
35、王志诚、周春生:《金融风险控制研究进展:国际文献综述》,《管理世界》,2006年4月。
36、韦艳华、张世英:《多元Copula-GARCH模型及其在金融风险分析上的应用》,《数理统计与管理》,2007年第5期。
37、魏宇、余怒涛:《中国股票市场的波动率预测模型及其SPA检验》,《金融研究》,2007年第7期。
38、魏宇:《有偏厚尾分布下的金融市场风险度量方法》,《系统管理学报》,2007年第6期。
38、吴青:《信用风险度量技术的最新发展及其在贷款定价中的运用》,《国际金融研究》,2006年第9期。
39、肖凌:《企业风险管理(ERM):一个概念框架》,《经济师》,2006年第3期。
40、许学斌:《基于ERM方法的动态联盟全面风险管理》,《现代管理科学》,2005年第5期。
41、杨立洪、蓝雁书、曹显兵:《在随机利率情形下可转换债券信用风险定价模型探讨》,《系统工程理论与实践》,2007年第9期。
42、叶洁雯:《利用连接函数方法改进信用风险度量模型》,《科技信息(学术研究)》,2008年第2期。
43、张宏毅:《银行操作风险度量方法比较》,《经济理论与经济管理》,2004年第11期。
44、张玲、杨贞柿:《信用风险度量方法综述》,《财经科学》,2004年第5期。
45、张尧庭:《连接函数(copula)技术与金融风险分析》,《统计研究》,2002年第4期。
46、张晓晶、孙涛:《中国房地产周期与金融稳定》,《经济研究》,2006年第1期。
47、赵家敏、张倩:《银行操作风险计量与管理综合模型研究》,《国际金融研究》,2004年第8期。
48、钟伟、沈闻一、李宜洋:《新巴塞尔协议市场风险管理的回溯测试综述》,《南方金融》,2006年第12期。
49、朱宏泉、李亚静:《集中与分散化投资—谁是基金的最优选择?》,《管理评论》,2008年第2期。
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61、Gariel Arturo Bassaluzzo:“On enterpreneurial teams in financially constrained economies”,Pennsylvania Uviersity,2004年。
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4李社环《企业风险管理的国际新趋势——整体风险管理》《当代财经》(2003年第11期)。
5参见陆晓明(1999年),唐国储(2004年),张宜霞、刘明辉(2005年),肖凌(2006年),吴遵新(2007年),周正义、肖凌(2007年),尹晓光(2007年)等。
6根据BIS,风险管理的过程可划分为风险识别、风险度量、风险评级及报告、风险控制和管理4个环节。
21易宪容,《房地产与金融市场》,社会科学文献出版社,2007年,第13页。
22资料来源:1995-2007年数据来自国家统计局网站,1991-1994年数据来自《中国经济景气月报》。
23资料来源:刘琳,《房地产投资对GDP贡献有多大》,《中国投资》,2007年第10期。
24参见上海财经大学投资研究所《中国投资发展报告—持续发展中的房地产投资》,上海财经大学出版社,第278页。
25参见曹振良等,《房地产经济学通论》,北京大学出版社,第19-20页。
35资料来源:《2008中国房地产上市公司TOP10研究报告》,中国房地产TOP10研究组,2008年6月。
36资料来源:《中国房地产金融报告2006》,第15页,中国人民银行金融市场司房地产金融分析小组。
55李社环《企业风险管理的国际新趋势——整体风险管理》《当代财经》(2003年第11期)。
56参见陆晓明(1999年)、唐国储(2004年)、张宜霞、刘明辉(2005年)、肖凌(2006年)、吴遵新(2007年)、周正义、肖凌(2007年)、尹晓光(2007年)等。
57根据BIS,风险管理的过程可划分为风险识别、风险度量、风险评级及报告、风险控制和管理4个环节。
58十国集团(G10)又称为巴黎俱乐部,它是成立于1961年的一个非官方组织,包括比利时、加拿大、法国、德国、意大利、日本、卢森堡、荷兰、西班牙、瑞典、瑞士、英国和美国。
59《房地产发展白皮书》,国务院发展研究中心课题组2007年。