台湾不动产证券化风险评估：基于REITs之研究

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1、苏州大学博士学位论文台湾不动产证券化风险评估：基于REITs之研究姓名：徐伟祺申请学位级别：博士专业：金融学指导教师：赵增耀20090301AbstractAnEvaluationofthe础SktoSecuritizetheRealEstateInvestmentTrustsinTaiwan：AstudybasedonREITsAnEvaluationoftheRisktoSecuritizetheRealEstateInvestmentTrusts。nTaiwan：AstudjbasedREITsvestment1ru

2、stsin1alwanAstuOyoaseOn1SUntilSeptember2008，anamountmorethanNT$150billionshadbeenissuedsinceTaiwanannounceditsRealEstateSecuritizationOrdinanceinJuly23，2003．AsmoststudiesontheTaiwanRealEstateSecuritizationfocusontheanalysisofitsregulationsandlaw—making，therearefew

3、reportsontheriskassessmentofinvestment．Inaddition，itiscommonlyknownthatthe“heavy—tailphenomena’’usuallyoccurinthenormaldistributionoftheinvestmentretumforotherfinancialassets．Nevertheless，ourknowledgeatthismomentaboutthetaildistributionisSOlimitedandnotenoughforUS

4、tomodifythemarketsituation．Consequently,itmakesinvestorsdifficulttomanagetheinvestmentrisk．Inthispaper,theauthortriestoassesstheriskoftheTaiwanRealEstateSecuritization．Bothmeasures．HistoricalVolatility,avariance—covariancemethodandGPDDetectCommonValuemodel，anExtre

5、meValuemodel，areusedinthisresearch．AcomparisonanalysisofthefindingsfromtwomethodsisalsoobtainedtoevaluatetheriskofREITs．10TaiwaneseREITsareselectedforthestudy．Theyarecategorizedintotwogroups：theinvestmentoverseasandinvestmentinTaiwan．AUthedataarecollectedfromSepte

6、mber22，2006toSeptember30，2008，aperiodoftotally500transactiondays．ThedailyR．O．I．iSusedtoscoretheinvestmentperformanceinVaRmodel．ItiSassumedthatatotalamountofNT$20millionisinvestedandequallyassignedtO10REITs，whichmeansNT$2millioneach．AIlthepotential10ssesat3differen

7、tconfidencelevels，95％，97．5％and99％，arecalculated．Thestatisticobtainedfromthisresearchindicatestheheavy—tailphenomenonappearsinthetable(s)．SuchalloccurrencecanbepredictedbytheExtremeValuemodel，butnotbytheVariance-Covariancemethod．Keywords：REITs，ValueatRisk，Extremeva

8、lueModel，BacktestingIlWfiRenby：HsuWeiChiSupervisedby：ZhaoZengYao图目录图1．1研究架构⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．23图2．1企业风险管理基本架构⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯．29图2．2证券与基金公司