基于蒙特卡洛模拟方法的飞机融资租赁租金定价研究

Research on the Pricing of Rent of Aircraft Financial Leasing Based on Monte Carlo Simulation

为加强承租双方对项目决策与风险管理的水平,根据飞机融资租赁的特点,以出租人的成本加成法构建了不确定环境下成本变动的租金定价模型,基于蒙特卡洛模拟方法评估了在不同利率环境下的飞机租赁租金;同时,考虑承租人对租金价值的认知能力,计算了承租人所能接受的最高租金。假设承租人接受出租人对承租人认知导向型定价所报租金,求解租金的理论价格与出租人能够实现期望利润的概率。结果表明,租金的理论价格是收敛的,当出租人在向承租人报价后,若经济环境变化导致出租人项目初始投资额的增加,出租人能够实现期望收益的概率将显著降低;当承租人在接受出租人所报租金后,若承租人的收入减少或成本增加,将导致承租人项目风险的增加。出租人应该加强对初始投资额变动的风险控制;承租人加强收入管理与成本控制,进而减少飞机租赁市场交易的风险。

In order to strengthen the level of project decision-making and risk management of the lessee and lessor and according to the characteristics of aircraft financing lease,the rent-price model of the cost change under uncertainty environment was constructed by the cost-plus method of the lessor,which based on Monte Carlo simulation calculation in the wave of interest rate.At the same time,considering the lessee’s rent affordability,calculating the maximum rent that the lessee afforded.Suppose that the lessor can quote the maximum rent that the lessee can afford and calculating the theoretical price of rent and probability of lessor satisfied object earning rate.The results showed that the theoretical price of rent was convergent.When the lessor quotes to the lessee,if the economic environment changes and the initial investment increases,the probability that the lessor can achieve the object earning was significantly reduced.When the lessee's revenue decreasing or cost increasing after lessee accepts the lessor’s offer,the lessee will assume more risk.Therefore,the lessor should strengthen the management of the initial investment amount and the lessee should strengthen the income management and cost control.