基于Svensson模型的随机型现金流估值

The model of cash flow valuation based on the Svensson model

针对传统项目估值方法的局限性,在利率市场化前提下,利用利率期限结构模型刻画资金成本的变化情况;在Hazen模型基础上,从投资现金流的角度提出改进的项目估值方法:通过使用Svensson模型刻画无风险利率,并利用遗传算法求解模型相关参数;同时采用熵度量随机现金流的不确定性.结果表明,提出的估值方法能较好地解决Net Present Value与Internal Rate of Return评价结果冲突问题,该方法也能较好地解决随机现金流IRR多解问题;同时,引入利率期限结构与熵的项目估值方法,能更准确地评价项目的实际价值.

A new project valuation method is proposed to overcome the limitation of traditional project valuation method and to evaluate the project with the perspective of return on investment.In this method,the term structure of interest rates is used to describe the change of the cost of capital on the precondition of the interest rate liberalization.By using Svensson model of term structure of interest rates,the model adopts entropy to measure the uncertainty of cash flow.It is empirically found that this project valuation method can fairly well solve the inconsistent result when using both NPV and IRR.It is also found that this method can propose a solution of the multiplicity IRR.Leading in the term structure of interest rates and the entropy can improve this project valuation method more accurately and appropriately.