建設業應用資產信託融資之風險值研究

Research on the Risk Assessment of Applying Asset Trust Finance for Construction Industry

鄭鐥楨(Shan-Chen Cheng)

指導教授 ： 曾惠斌

國立臺灣大學/工學院/土木工程學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.00903

摘要

「不動產證券化條例」於民國92年7月23日經由立法院院會通過並公佈施行，其立法目的除提升國家經濟之外，並期待藉由不動產證券化得以有效開發不動產、提升環境品質、活絡不動產市場，並保障投資大眾。因此，民間企業及政府均企盼能藉由不動產證券化條例的立法，能順利籌措從事建設或不動產開發及公共工程所需資金與建設經費。然而，建設業者對於不動產證券化之期盼，除了活絡不動產市場資金，促進資產流通性的功能之外，建設業者真正關心的是運用證券化方式之後，各種投資風險來源對於自身投資報酬的影響，相較於傳統舉債融資之不動產投資方式有何差異與優劣。為此，本研究希望藉由可具體量化證券化投資風險之模式，提供建設業者未來欲採行不動產證券化做為籌資工具時，一可據以參考之決策依據。
近年來，新興以風險值（Value-at-Risk；VaR）作為衡量風險之代表性指標；因此，本研究利用VaR之概念結合蒙地卡羅模擬法，試算建設投資專案運用開發型資產信託之證券化融資方式時，其風險淨現值（NPV-at-Risk；NPVα）之機率分配。此外，本研究另考量風險因子間之相關性後，進一步模擬不同情境之融資模式；同時，並根據不同情境下之風險因子變數，計算投資專案開發期間之損益分配，用以推估專案營運期間之風險淨現值。因此，本研究期望能提供建設業者一投資風險之評估準則，用以相互分析、比較不同融資方式下之投資風險值；同時，本研究亦探討專案投資利用傳統銀行融資與證券化融資等不同的融資方式進行建設開發計畫時，各種風險來源因子如何影響開發專案之投資報酬。

關鍵字

不動產證券化 ； 不動產投資信託 ； 不動產資產信託 ； 風險值（VaR）

並列摘要

”Real Estate Securitization Laws” had been legislated in July 23, 2003. The real estate securitization system in Taiwan is divided into two types - Real Estate Investment Trust（REIT）and Real Estate Asset Trust（REAT）. Its legislation purpose isn’t only raising our nation’s economy but hoping to promote real estate development, the quality of environment, real estate market and to protect the people who invested effectively. Real estate securitization provides an alternative investment approach for population investing in real estate. According to those reason, private businesses and government all expect to raise construction budget through this legislation. However, the most important thing construction industry cares about is the effect of investment risk to its own return after using securities finance. Thus, this research would provide a quantitative approach for construction industry to measure the investment risk when using securities finance.
Recently, a new index,” Value at Risk（VaR）”, is always used to measure the unpredictable risk of a project. This research combines the VaR concept with the Monte Carlo simulation method to reflect the NPVα probability distribution when a construction investment project applying asset trust finance. Furthermore, considering the relationship between risk factors, this research simulates the return of investment project and evaluates the project’s VaR during the period of operation within different finance approach and risk variables. The purpose of this research is to provide an evaluation rule of project investment risk for construction industry and to analyze the VaR with different finance method. Besides, this research also studies the effect on investment project return when using traditional bank finance and securitization finance with each risk factor.

並列關鍵字

Real Estate Securitization ； REIT ； REAT ； Value at Risk（VaR） ； Monte Carlo Simulation

參考文獻

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