融资租赁资产流转风险定价研究——以普通乘用车辆融资租赁合约售后回租为例

A Study of Financial Leasing Asset Transfer Risk Pricing——Based on the Sale-leaseback of Financial Leasing Contract of Passenger Cars

本研究构建普通乘用车辆融资租赁合约售后回租交易风险定价模型,度量租赁资产贬值和价值波动风险、承租人和原出租人联合违约风险,运用蒙特卡洛模拟法、信用评级迁移矩阵、二叉树-实物期权模型等,计算回租租金和租赁利率的理论区间,之后结合实际案例,验证模型的有效性。研究表明:(1)案例基于模型进行风险定价的结果可信;(2)回租交易定价应与交易双方承担的风险相匹配,案例合约转让实际价格小于风险定价,租赁利率实际定价高于风险定价,即在实际交易中,合约出让方对受让方进行了风险补贴,并支付了过高的成本。而在模型定价中,回租本金和租赁利率的理论定价均为蒙特卡洛模拟下的风险分布区间定价,为交易双方提供了风险分摊的参考依据。

Based on the risk undertook by the transferee company,this paper constructs a risk-pricing model of the sale-leaseback of financial leasing contract of passenger cars to measure the risk of the devaluation of leased assets and the volatility of the asset value,as well as the credit risk. By employing the Monte Carlo simulation method,the credit rating migration matrix,and the Binomial Model of real options,this paper calculates the theoretical intervals of the rent and the lease rate. This study verifies the effectiveness of the model by using a practical application case and reveals that the pricing of the transferring of the financial leasing contract should match the risks taken by the trading parties. In the case studied,the actual transferring price of the leasing contract is lower than the price calculated by the model and the actual leasing rate is higher than that calculated by the model,which means that in the actual trade,the seller subsidizes the buyer and pays higher price. In the model,the theoretical prices of sale-lease back principal and the leasing rate are the risk distribution interval pricing,which provides the trade parties with the foundation of the risk-sharing.