AMC不良资产债转股期权优化决策模型研究

Modeling AMC's debt-to-equity transformation for non-performing loan based on option optimum

本文在分析AMC不良资产债转股现有研究的基础上,采用期权思想,建立了基于期权的AMC不良资产债转股优化决策模型,从理论上给出了对企业是否实施债转股的判别条件,同时也得出了债转股比例计算公式,解决了现有研究没有考虑企业债转股后资产的预期价值变化和债转股比例约束限制导致债转股比例确定不合理的弊端,使模型更符合实际。

With analyzing the existing researches on Asset Management Company＇s （AMC） debt -to -equity transformation for non - performing loan, the AMC＇ s debt - to - equity transformation for non - performing loan optimized decision - making model is established based on options. The determination condition for implementing enterprise debt - to - equity transformation is obtained theoretically. Simultaneously, the debt - to - equity transformation＇ s proportional calculating formula is derived; and it solved the problems of neglecting the change of debt - to - equity transformation enterprise＇ s asset anticipated value and the debt - to - equity transformation＇ s proportional restraint, which lead to the malpractice for debt - to - equity transformation＇ s unrea- sonable proportion. It is more likely that for the AMC＇ s debt - to - equity transformation for non - performing loan, the decision -making model is more conformed to the reality.