【摘要】：隨著我國(guó)融資租賃行業(yè)步入發(fā)展的春天，非金融類融資租賃企業(yè)的發(fā)展規(guī)模和市場(chǎng)份額正在逐步提升。在業(yè)務(wù)快速擴(kuò)張的同時(shí)，非金融類融資租賃企業(yè)的風(fēng)險(xiǎn)管理方面存在的問(wèn)題也在逐步顯現(xiàn)。本文通過(guò)對(duì)非金融類融資租賃企業(yè)所面臨的風(fēng)險(xiǎn)進(jìn)行深入的挖掘后，篩選出了一系列指標(biāo)構(gòu)成適合于該類企業(yè)的風(fēng)險(xiǎn)預(yù)警體系，通過(guò)這一體系，可以達(dá)到隨時(shí)監(jiān)控該類企業(yè)所面臨風(fēng)險(xiǎn)是否出現(xiàn)異常的目的。同時(shí)，本文對(duì)該類企業(yè)面臨的兩類主要風(fēng)險(xiǎn)——利率風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)進(jìn)行了實(shí)證分析。對(duì)于利率風(fēng)險(xiǎn)，主要依據(jù)持續(xù)期缺口理論來(lái)對(duì)樣本企業(yè)的資產(chǎn)、負(fù)債頭寸進(jìn)行持續(xù)期計(jì)算，以得到利率變化1%時(shí)對(duì)樣本企業(yè)凈資產(chǎn)確切的影響大小，本文對(duì)遠(yuǎn)東宏信的持續(xù)期缺口進(jìn)行計(jì)算，，最后發(fā)現(xiàn)當(dāng)利率上升1%時(shí)，該企業(yè)的凈資產(chǎn)減少0.38億美元。對(duì)于信用風(fēng)險(xiǎn)，本文通過(guò)Logistic模型對(duì)樣本企業(yè)的9種財(cái)務(wù)指標(biāo)進(jìn)行回歸分析，最終得到承租企業(yè)下一年度發(fā)生違約的概率與承租企業(yè)的償債能力（流動(dòng)資產(chǎn)占總資產(chǎn)的比率）、經(jīng)營(yíng)能力（應(yīng)收賬款）和現(xiàn)金流量（經(jīng)營(yíng)現(xiàn)金流量?jī)纛~占總負(fù)債的比率）相關(guān)的結(jié)論。通過(guò)對(duì)利率風(fēng)險(xiǎn)和信用風(fēng)險(xiǎn)的實(shí)證分析，為非金融類融資租賃企業(yè)進(jìn)行這兩種風(fēng)險(xiǎn)的管理提供了定量分析的方法，讓該類企業(yè)的風(fēng)險(xiǎn)管理從定性提升到定量的水平，也為該類企業(yè)決定是否采取風(fēng)險(xiǎn)處置措施或者采取哪種類型的風(fēng)險(xiǎn)處置措施提供了參考依據(jù)。 本文最后為非金融類融資租賃企業(yè)提供了風(fēng)險(xiǎn)防范的方法，包括通過(guò)篩選出一系列指標(biāo)，建立一套風(fēng)險(xiǎn)預(yù)警體系風(fēng)險(xiǎn)分散策略并通過(guò)計(jì)算各個(gè)指標(biāo)變量的功效系數(shù)來(lái)得到一個(gè)綜合的風(fēng)險(xiǎn)評(píng)價(jià)指標(biāo)，該指標(biāo)可以對(duì)該類企業(yè)的風(fēng)險(xiǎn)作出定量的評(píng)價(jià)。針對(duì)非金融類融資租賃企業(yè)所面臨的各個(gè)具體風(fēng)險(xiǎn)，本文提出了風(fēng)險(xiǎn)分散、風(fēng)險(xiǎn)轉(zhuǎn)移以及資產(chǎn)證券化方法予以應(yīng)對(duì)。
[Abstract]:With the development of China's financial leasing industry, the scale and market share of non-financial leasing enterprises are gradually increasing. With the rapid expansion of business, the risk management problems of non-financial leasing enterprises are gradually emerging. After digging into the risks faced by non-financial leasing enterprises, this paper selects a series of indicators to form a risk warning system suitable for this kind of enterprises. Can achieve the purpose of monitoring the risks faced by this kind of enterprises at any time. At the same time, this paper makes an empirical analysis on the interest rate risk and credit risk faced by this kind of enterprises. For interest rate risk, the duration of the assets and liability positions of the sample enterprises is calculated according to the theory of duration gap, so as to obtain the exact influence of the change of interest rate on the net assets of the sample enterprises. This paper calculates the duration gap of far East Acer and finally finds that when interest rates rise by 1, the company's net worth is reduced by $38 million. For credit risk, this paper carries on regression analysis to 9 kinds of financial index of sample enterprise by Logistic model. Finally, we get the probability of defaulting in the next year of the leased enterprise and the solvency of the leased enterprise (the ratio of current assets to total assets), the ability to operate (accounts receivable) and the cash flow (net operating cash flow as a percentage of total liabilities). Ratio of) to the relevant conclusions. Through the empirical analysis of interest rate risk and credit risk, this paper provides a quantitative analysis method for non-financial leasing enterprises to manage these two kinds of risks, so that the risk management of this kind of enterprises can be promoted from qualitative to quantitative level. It also provides a reference for this kind of enterprises to decide whether to take risk disposal measures or what kind of risk disposal measures to take. Finally, this paper provides a risk prevention method for non-financial leasing enterprises, including screening a series of indicators, A set of risk dispersal strategy of risk early warning system is established and a comprehensive risk evaluation index is obtained by calculating the efficacy coefficient of each index variable. This index can quantitatively evaluate the risk of this kind of enterprise. Aiming at the specific risks faced by non-financial leasing enterprises, this paper puts forward the methods of risk dispersion, risk transfer and asset securitization.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.49;F224

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