基于Beta-PERT分布的单项不良资产定价决策

目前不良资产已经成为中外投资机构的一个投资方向。而不良资产作为一种不能带来正常收益的资产,其自身及处置的过程中都蕴含着多种风险。投资机构在购入不良资产之前,需要对资产的风险进行估计,结合本机构的风险策略来进行定价决策。本文从分析不良资产的风险来源出发,引入Beta-PERT分布来拟合不良资产处置价格的概率分布,并考虑投资机构对风险控制的要求,建立了投资机构购入单项不良资产的定价决策模型。最后给出一个算例,具体说明了模型的应用和求解过程。

Purchasing a Non- performing Asset: Price Decision Based on Beta-PERT Distribution

Nowadays non-performing assets have become popular among foreign and domestic invest institutions.There are many kinds of risks in non-performing assets,so invest institutions need to evaluate the risks before purchasing and making decisions on purchase price according to their own risk strategies.This article begins with the analysis of the risk sources of non-performing assets,and uses beta-PERT distribution as the probability distribution of the disposing prices.Taking into consideration the invest institution's demand on risk control,a decision model on the purchase price of one piece of non-performing asset has been constructed.Then an example has been offered to demonstrate the usage and solution of the model.