华中科技大学硕士学位论文我国企业并购估价风险的评价姓名：徐蓓申请学位级别：硕士专业：金融学指导教师：刘方池20060401
햪 튪 퓚웳튵늢릺훐ꎬ평폚탅쾢늻뛔돆뛸뛔쒿뇪웳튵볛횵움맀늻ힼ좷ꎬ믲맽룟맀볆늢릺킭춬킧펦뛸횧뢶맽룟틧볛ꎬ틽웰늢릺웳튵닆컱ힴ뿶뛱뮯믲닆컱돉맻쯰쪧ꎻ믲맽뗍움맀쒿뇪웳튵볛횵뛸돶볛맽뗍훂쪹쒿뇪웳튵늻풸돶쫛ꎬ떼훂늢릺쪧냜쟒쪹늢릺웳튵쯰쪧잰웚춶죫ꎬ뻍닺짺쇋늢릺맀볛럧쿕ꎬ쯼늻뷶쫇룷훖늢릺럧쿕뗄ퟛ뫏랴펳ꎬ뛸쟒쫇늢릺돉릦폫럱뗄훘튪펰쿬틲쯘ꆣ 쫗쿈ꎬ놾컄횸돶뒫춳맀볛랽램뗄뇗뛋ꎬ틽죫쪵컯웚좨쒣탍움맀쒿뇪웳튵뗄볛횵ꆣ좻뫳ꎬ뻟쳥럖컶쇋컒맺웳튵늢릺맀볛럧쿕뗄돉틲ꎬ훷튪냼삨닆컱놨뇭뻖쿞탔뫍헦쪵탔ꆢ늢릺쮫랽탅쾢늻뛔돆ꆢ볛횵움맀랽램늻췪짆ꆢ닺움맀믺릹랢햹훍뫳뗈ꆣ퓚싛쫶쇋쒣뫽ퟛ뫏움볛쒣탍뫍죋릤짱뺭췸싧쒣탍헢솽룶뒫춳럧쿕움볛쒣탍뗄늻ퟣ뫳ꎬ틽죫VaR쒣탍뚨솿움볛컒맺웳튵늢릺맀볛럧쿕ꆣퟮ뫳톡좡쇋튻룶뻟쳥뗄늢릺낸샽뛔쪵컯웚좨쒣탍뫍VaR쒣탍뗄퓋폃맽돌뷸탐쇋샽횤ꎬ늢쳡돶쇋헫뛔늢릺맀볛럧쿕뗄뿘훆듫쪩ꆣ 놾컄훷튪퓋폃뺭볃쫽톧뗄퇐뺿랽램뛔컒맺웳튵늢릺맽돌훐뗄맀볛럧쿕뷸탐쇋솿뮯움볛ꎬ뻟쳥냼삨BS쒣탍ꆢ쒣뫽ퟛ뫏움볛쒣탍ꆢ죋릤짱뺭췸싧쒣탍뫍VaR쒣탍ꆣ놾컄뗄뒴탂횮뒦퓚폚ꎺ틽죫BS쒣탍뛔쒿뇪웳튵뷸탐맀볛ꎬ좫쏦럖컶쇋컒맺웳튵늢릺맀볛럧쿕뗄훷튪펰쿬틲쯘ꎬ틽죫VaR쒣탍움볛웳튵늢릺맀볛럧쿕ꎬ늢퓋폃헢솽룶쒣탍뛔쪵볊낸샽뷸탐쇋뻟쳥럖컶ꎬ쳡돶쇋뻟폐헫뛔탔뗄듫쪩붨틩ꆣ 맘볼듊ꎺ늢릺 맀볛럧쿕 럧쿕움볛 BS릫쪽 VaR쒣탍 I
Abstract In the process of M&AꎨMerger & Acquisitionꎩ, the inaccurate estimation of target enterprise’s value because of information asymmetry conclude two aspects, one is financial situation deterioration and finance achievement loss caused by overestimation of coordinated effect, the other is the failure of M&A and the loss of ahead investment caused by underestimation of target corporation. Both of the possibility and uncertainty of these two conditions are called the evaluation risk of M&A, it is not only integrated reflection of all risks in M&A but also an important influence factor of success. First, a concrete analysis of the causes of the evaluation risk in M&A is made in this paper (mainly including localization and untruth of financial reports, information asymmetry, faultiness of evaluation methods, lag of agency institution development, etc.).Then Fuzzy Comprehensive Evaluation Model, Artificial Neural Network Model and Value at Risk Model are compared with each other, it is believed that VaR Model fit the appraisal on evaluation risk in M&A best. Finally a M&A cases is analyzed with BS(Black-Scholes) formula and VaR Model and several corresponding countermeasures to the control of the evaluation risk in M&A are put forward. The economics mathematics research approach is mainly used in this paper, to quantize and appraise the evaluation risk in M&A, including the BS formula, Fuzzy Comprehensive Evaluation Model, Artificial Neural Network Model and VaR Model. The innovations of this paper are: the BS formula is brought in to estimate the value of targeted corporations in M&A, the main causations of evaluation risk in M&A are analyzed in an all-round way, the VaR Model is brought in to appraise the evaluation risk in M&A, two cases of M&A are analyzed with this two models, some suggestions are pointed out to keep the evaluation risk in M&A away. Key Words: M&A Evaluation Risk Risk Evaluation BS Formula VaR Model II
뛀뒴탔짹쏷 놾죋짹쏷쯹돊붻뗄톧캻싛컄쫇컒룶죋퓚떼쪦횸떼쿂뷸탐뗄퇐뺿릤ퟷ벰좡뗃뗄퇐뺿돉맻ꆣ뺡컒쯹횪ꎬ돽컄훐틑뺭뇪쏷틽폃뗄쓚죝췢ꎬ놾싛컄늻냼몬죎뫎웤쯻룶죋믲벯쳥틑뺭랢뇭믲킴맽뗄퇐뺿돉맻ꆣ뛔놾컄뗄퇐뺿ퟶ돶릱쿗뗄룶죋뫍벯쳥ꎬ뻹틑퓚컄훐틔쏷좷랽쪽뇪쏷ꆣ놾죋췪좫틢쪶떽놾짹쏷뗄램싉뷡맻평놾죋돐떣ꆣ 톧캻싛컄ퟷ헟잩쏻ꎺ 죕웚ꎺ 쓪 퓂 죕 톧캻싛컄냦좨쪹폃쫚좨쫩 놾톧캻싛컄ퟷ헟췪좫쇋뷢톧킣폐맘놣헏ꆢ쪹폃톧캻싛컄뗄맦뚨ꎬ벴ꎺ톧킣폐좨놣쇴늢쿲맺볒폐맘늿쏅믲믺릹쯍붻싛컄뗄뢴펡볾뫍뗧ퟓ냦ꎬ퓊탭싛컄놻닩퓄뫍뷨퓄ꆣ놾죋쫚좨뮪훐뿆벼듳톧뿉틔붫놾톧캻싛컄뗄좫늿믲늿럖쓚죝뇠죫폐맘쫽뻝뿢뷸탐볬쯷ꎬ뿉틔닉폃펰펡ꆢ쯵펡믲즨쏨뗈뢴훆쫖뛎놣듦뫍믣뇠놾톧캻싛컄ꆣ 놣쏜 ꎬ퓚 쓪뷢쏜뫳쫊폃놾쫚좨쫩ꆣ 놾싛컄쫴폚 늻놣쏜 ꆣ ꎨ쟫퓚틔짏랽뿲쓚듲ꆰꇌꆱ ꎩ 톧캻싛컄ퟷ헟잩쏻ꎺ 횸떼뷌쪦잩쏻ꎺ 죕웚ꎺ 쓪 퓂 죕 죕웚ꎺ 쓪 퓂 죕
1 탷 싛 퇐뺿놳뺰벰틢틥 ퟷ캪쫐뎡뺭볃룟뛈랢햹뗄닺컯뫍웳튵뺭펪뗄폐킧쫖뛎ꎬ늢릺퓚컷랽쫐뎡뺭볃랢듯맺볒틑폐튻냙뛠쓪뗄샺쪷ꎬퟔ1898쓪뗚튻듎늢릺샋뎱쿆웰틔살ꎬ릲뺭샺맽컥듎늢릺샋뎱ꆣ쯦ퟅ쫀뷧뺭볃좫쟲뮯뗄랢햹ꎬ웳튵늢릺랢짺뗄쫽솿ꆢ뷰뛮뫍뗘폲뗈뚼퓚훰쓪삩듳ꆣ쒿잰ꎬ뗚쇹듎늢릺샋뎱헽퓚좫쫀뷧랶캧쓚탋웰ꎬ쏦뛔좫쟲뺭볃컨첨짏뗄늢릺샋뎱ꎬ컒맺웳튵튲늻룊실뫳ꆣ쯦ퟅ컒맺룄룯뾪럅뗄짮죫뫍쫐뎡뺭볃뗄훰늽붨솢ꎬ컒맺웳튵늢릺틑돉캪컒맺짧믡훷틥쫐뎡뺭볃훐튻룶쿊쏷뗄훷쳢ꆣ쪵볹횤쏷ꎬ늢릺늻뷶쫇쪵쿖닺좨훘ퟩꆢ폅뮯풴엤훃뗄훘튪쫖뛎뫍믽벫랽쪽ꎬ튲쫇맺폐웳튵룄룯쏦쇙뗄뇘좻톡퓱ꆣ 퓚늢릺맽돌훐ꎬ뛔쒿뇪웳튵뗄맀볛쫇늢릺붻틗뗄뺫쯨ꎬ쯼퓚뫜듳돌뛈짏뻶뚨늢릺쓜럱돉릦ꆣ퓚틔룷ퟔ샻틦ퟮ듳뮯캪잰쳡뗄뻶닟럖컶맽돌훐ꎬ늢릺쮫랽췹췹뫶쫓쮫랽뻶닟뗄뮥뚯탔ꎬ헢뛔늢릺쮫랽뚼늻샻ꆣ헅탂ꎨ2003ꎩ뛔1993쓪훁2002쓪훐맺짏쫐릫쮾뗄1216룶늢릺훘ퟩ쫂볾뷸탐쇋좫쏦럖컶ꎬ퇐뺿뇭쏷늢릺훘ퟩ캪쒿뇪웳튵뒴퓬쇋볛횵ꎬ웤막욱틧볛듯떽%ꎬ뎬맽20%뗄맺볊욽뻹쮮욽ꎻ뛔늢릺웳튵막뚫좴닺짺쇋뢺쏦펰쿬ꎬ웤틧볛캪-16. 76%ꆣ틲듋ꎬ뛔쒿뇪웳튵뗄맀볛돉캪늢릺쓜럱듯떽풤웚쒿뇪뗄훷튪컊쳢ꆣ죧뫎럀랶늢릺맀볛럧쿕ꎬ벸뫵돉캪쎿룶닎폫늢릺뗄웳튵릲춬맘힢뗄붹뗣ꆣ 놾컄뗄샭싛틢틥퓚폚ꎬ늻뷶퓚튻뚨돌뛈짏뿉틔럡뢻뫍랢햹훐맺웳튵늢릺럧쿕샭싛ꎬ뮹뿉틔틽랢샭싛뷧뛔훐맺웳튵늢릺맀볛럧쿕뗄탂첽쳖ꆣ놾컄뻟폐뷏듳뗄쿖쪵틢틥ꎬ튻쫇뿉볓짮훐맺웳튵뛔늢릺맀볛럧쿕뗄죏쪶뫍샭뷢ꎬ뛾쫇뿉캪훐맺웳튵뷸탐늢릺믮뚯쪱뗄볛횵움맀벰럧쿕움볛쳡릩횸떼ꎬ죽쫇춨맽뻟쳥낸샽쮵쏷쪵컯웚좨랽램뫍VaR랽램퓚움볛늢릺맀볛럧쿕훐뗄펦폃ꎬ쯄쫇쳡돶뿉릩훐맺웳튵뫍헾뢮룹뻝쪵볊쟩뿶톡폃뗄붨틩듫쪩ꆣ 퇐뺿훐맺웳튵늢릺맀볛럧쿕럀랶ꎬ늻뷶폐샻폚훐맺웳튵늢릺돖탸붡뾵랢햹ꎬ뮹 1
폐훺폚쳡룟컒맺웳튵늢릺붻틗뗄맀볛벼쟉뫍뻶닟쮮욽ꆣ폐킧럀랶늢릺맀볛럧쿕ꎬ뛔쳡룟컒맺웳튵늢릺뗄돉릦싊ꎬ듙뷸컒맺웳튵샻폃늢릺뷸탐ퟔ짭랢햹뻟폐훘튪틢틥ꆣ뫏샭퓋폃럀랶늢릺맀볛럧쿕뗄듫쪩ꎬ뿉쪹늢릺웳튵뛔쒿뇪웳튵뗄맀볛룼볓ힼ좷ꎬ퓚놣횤늢릺돉릦뗄춬쪱폐킧붵뗍늢릺웳튵쯹쏦쇙뗄뛔쒿뇪웳튵뗄볛횵움맀럧쿕ꆣ 맺쓚췢퇐뺿뚯첬 뿆쮹ꎨ1960ꎩ쳡돶뗄붻틗돉놾샭싛ꆢ싵뿋뛻·늨쳘ꎨ1987ꎩ쳡돶뗄햽싔훘ퟩ샭싛ꆢ탅뫅샭싛ꆢ뫏춬샭싛ꆢ벤샸샭싛ꆢ캯췐ꆪ듺샭샭싛ꆢ닺좨샭싛ꆢ럇뛔돆탅쾢샭싛ꆢ탅쾢늻췪좫샭싛뫍늩?샭싛뗈퓚ퟮ뷼쪮뛠쓪뗄뎤ퟣ랢햹ꎬ쪹뗃늢릺샭싛뷸햹럇뎣톸쯙ꎬ돉캪쒿잰뺭볃퇐뺿훐ퟮ믮풾뗄쇬폲횮튻ꆣ 폐맘늢릺럧쿕뗄퇐뺿 틔쏀맺캪듺뇭뗄랢듯맺볒퓚늢릺랽쏦틑뺭쿠떱돉쫬ꎬ뫜뛠뿉뷨본뗄뺭퇩뛔랢햹컒맺웳튵늢릺믮뚯뻟폐훘튪틢틥ꆣ훱훐헷럲ꎨ1985ꎩ뗚튻듎뇈뷏쾵춳뗘퇐뺿웳튵늢릺럧쿕벰웤럀랶ꎬ쯻뛔늢릺럧쿕뗄럀랶ퟷ쇋돵늽룅쫶ꎬ늢쟒횸돶퓚늢릺맽돌훐탅쾢늻뛔돆럧쿕쫇ퟮ훷튪뗄럧쿕횮튻ꆣ맾싞뗂·뗂쒷주듄ꎨ1992ꎩ뛔웳튵늢릺뗄램싉럧쿕뷸탐쇋퇐뺿ꆣ.뫕샖쳘싼ꎨ1992ꎩ쳡돶쇋웳튵늢릺뮷뺳럧쿕뗄뚨틥ꆣD.억웚ꎨ1994ꎩ횸돶웳튵늢릺훐뗄훆뛈럧쿕ꆣJoseph ꎨ1995ꎩ좫쏦럖컶쇋늢릺훐쒿뇪웳튵볛횵움맀뗄룷훖랽램ꎬ횸돶캪뇜쏢맽뛈횧뢶럧쿕펦룃룹뻝쟩뿶닉좡뫏쫊뗄맀볛쒣탍ꆣ뇋뗃·억삼뗈ꎨ1997ꎩ뛔늢릺뗄컄뮯헻뫏럧쿕ퟷ쇋짮죫퇐뺿ꆣ늼삳뛷·늮쇓풼몲ꎨ1997ꎩ뛔웳튵늢릺뗄쫐뎡럧쿕ퟶ쇋듳솿퇐뺿ꎬ늢쳡돶퓚웚믵쫐뎡짏뷸탐닙ퟷ뗄럧쿕럀랶닟싔ꆣClaudio ꎨ1999ꎩ뛔1985쓪훁1996쓪훐맺웳튵늢릺낸샽뷸탐쇋퇐뺿ꎬ죏캪훐맺웳튵퓚늢릺훐맽폚틀삵헾뢮뗄ퟷ폃ꎬ퓬돉벫듳뗄헻뫏럧쿕ꆣRobert G. EcclcsꎬKersten 뫍Thomas ꎨ1999ꎩ훷튪럖컶쇋늢릺훐횧뢶맽뛈뗄럧쿕ꎬ죏캪헢쫇늢릺맀볛럧쿕ퟮ훷튪뗄뇭쿖탎쪽ꆣDcukas J.뫍Hclme ꎨ2000ꎩ죏캪늢릺럧쿕뫍닺좨폐맘ꆣAnthony Breitzman뫍Patrick Thomasꎨ2002ꎩ쳡돶쇋늢릺훐뛔쒿뇪웳튵뗄톡퓱럧쿕ꎬ늢뛔헢훖럧쿕뷸탐쇋돵늽럖컶ꆣ 2
쯤좻훐맺웳튵늢릺랢햹쪱볤뫜뛌ꎬ뫜뛠맺쓚톧헟튲뛔웤훐듦퓚뗄럧쿕뷸탐쇋듳솿퇐뺿ꎬ떫듳뛠쫽퇐뺿뚼춣쇴퓚뚨탔닣쏦ꆣ뷰쿾뇳ꎨ1999ꎩ붫늢릺럧쿕럖캪뮷뺳럧쿕ꆢ닙ퟷ럧쿕뫍쪵쿖럧쿕죽샠ꎬퟜ돆캪캢맛럧쿕ꎻ늢횸돶늢릺맽돌훐헾뢮뫍헻룶뺭볃쳥쾵튲돐떣튻뚨뗄럧쿕ꎬ돆캪뫪맛럧쿕ꆣ슥펭뻼ꎨ2000ꎩ붫늢릺럧쿕럖캪헾닟럧쿕ꆢ돯럧쿕뫍퓋ퟷ럧쿕ꎬ늢붫럧쿕맜샭돌탲럖캪쪶뇰ꆢ뫢솿ꆢ맜샭뫍움볛쯄룶뮷뷚ꆣ믆튻쏹ꎨ2001ꎩ붫웳튵늢릺럧쿕럖캪늢릺잰ꆢ늢릺훐뫍늢릺뫳죽듳샠ꎬ훷튪폐톡퓱럧쿕ꆢ춶럧쿕ꆢ맀볛럧쿕ꆢ죚럧쿕뫍뎥햮럧쿕ꎬ춬쪱튲쳡돶쇋튻킩뿘훆듫쪩ꆣ 엋쮼?ꎨ2005ꎩ듓웳튵닣쏦럖컶웳튵늢릺맽돌훐늻춬뷗뛎뗄늻춬럧쿕샠탍벰돉틲ꎬ뛔뿉틔풤럀뗄럧쿕쳡돶쇋쟐쪵뿉탐뗄럀랶듫쪩ꎬ뛔컞램럀랶뗄럧쿕닉좡쇋럧쿕틆ꆢ복쟡ꆢ뷓쫜ꆢ펦벱뗈럧쿕뿘훆듫쪩ꆣ샮킡뻼ꎨ2006ꎩ럖컶쇋웳튵늢릺훐뗄쇹훖럧쿕ꎬ늢퓚듋믹뒡짏쳡돶쇋맦뇜웳튵늢릺럧쿕뗄쯄쳵뛔닟벰붨틩ꆣ떫쫇쯻쏇뗄퇐뺿뚼쎻폐짦벰떽늢릺훐뗄맀볛럧쿕벰웤움볛컊쳢ꆣ 튲폐늿럖톧헟퓋폃쫽톧랽램뫍쒣탍뛔늢릺훐뗄럧쿕뷸탐쇋솿뮯ꆣ싀욼ꎨ2001ꎩ퓚럖컶웳튵늢릺럧쿕틲쯘뗄믹뒡짏ꎬ쳡돶퓋폃닣듎럖컶램붨솢웳튵늢릺럧쿕뗄움볛쒣탍늢뷸탐쇋쪵횤럖컶ꆣ튶뫱풪ꎨ2002ꎩ릹붨쇋쇹룶움볛웳튵늢릺럧쿕뗄볲떥쒣탍ꎬ늢쳡돶쇋웳튵늢릺뗄죽훖뎣볻럧쿕뗄럀랶듫쪩ꆣ돵튶욼뫍뫺퇞ꎨ2003ꎩ짨볆쇋웳튵늢릺럧쿕쪶뇰쾵춳벰뻶닟횧돖쾵춳뗄믹놾뿲볜ꎬ늢쳡돶쇋웤쪵쿖랽램ꆣ뫺퇞뫍죎붨뮪ꎨ2003ꎩ샻폃뺫좷횵닢솿랽램뫍쒣뫽움볛랽램붨솢쇋늢릺훐웚럧쿕쪶뇰뗄뚨솿ퟛ뫏움볛쒣탍벰웤볆쯣늽훨ꎬ볆쯣돶럧쿕훕횹쾵쫽늢뛔볆쯣뷡맻뷸탐쇋움볛ꆣ뎯퇴뫍훜췱ꎨ2004ꎩ릹붨쇋늢릺럧쿕럖뛎쪶뇰쇷돌춼ꎬ듓늢릺햽싔ꆢ늢릺닟싔뫍뿘훆랽쪽뗈뛠뷇뛈뛔웳튵늢릺럧쿕뷸탐쾵춳뿘훆ꆣ쳯늨욽뫍럫펢뾣ꎨ2004ꎩ돩좡2000쓪훁2002쓪랢짺늢릺뗄짏쫐릫쮾퇹놾ꎬ뛔늢릺잰뫳뗄퓂쫕틦싊뇤뮯뷸탐쇋뇈뷏럖컶ꎬ뗃떽폐맘늢릺잰뫳럧쿕뇤뮯뗄뷡싛ꆣ 틔짏헢킩컄쿗듓뛠랽쏦ꆢ뛠뷇뛈싛쫶쇋늢릺럧쿕ꎬ뮹폐튻킩컄쿗퓲듓쒳튻랽쏦믲쒳튻뷇뛈쳖싛쇋늢릺럧쿕ꆣ믆쿜ꎨ1990ꎩ퓚웳튵늢릺쯹퓶볓뗄짧믡뺭볃뗄늻컈뚨틲쯘랽쏦ꎬ벴늢릺뗄짧믡럧쿕랽쏦뷸탐쇋퇐뺿ꆣ돂튫맢ꎨ1993ꎩ럖컶쇋햽싔헻뫏훐 3
듦퓚뗄햽싔움맀럧쿕늢쳡돶쇋튻킩뛔닟듫쪩ꆣ췵뾪맺ꎨ1995ꎩ짮죫럖컶쇋컒맺웳튵늢릺훐뗄닺좨럧쿕ꎬ횸돶튪볓뿬컒맺닺좨훆뛈룄룯틔럀랶닺좨럧쿕ꆣ췵퇓뿆ꎨ1995ꎩ쳡돶퓚훐맺뺭볃맬쪱웚ꎬ웳튵퓚햽싔헻뫏맽돌훐믡쏦쇙쳥훆럧쿕ꆣ훜킡뒨ꎨ1999ꎩ횸돶펦볓뿬쳥훆룄룯ꎬ뺡뿬탎돉컈뚨뗄뺭볃헾닟쳥훆ꎬ듙뷸쫐뎡뮯룄룯늽랥ꎬ붵뗍늢릺쳥훆럧쿕ꆣ믆뫍췵믹붨ꎨ2003ꎩ죏캪붵뗍뫍맦뇜닆컱럧쿕쫇놣횤웳튵늢릺돉릦뗄훘튪듫쪩ꎬ쯻쏇톡폃닣듎럖컶랽램붨솢쇋쿠펦뗄움맀쒣탍늢뷸탐쇋샽횤ꆣ샮볌횾뫍샮쏷쿍ꎨ2004ꎩ붫웳튵늢릺닆컱럧쿕럖캪웳튵죚믮뚯듸살뗄닆컱럧쿕ꆢ늢릺횧뢶랽쪽떥뗷듸살뗄닆컱럧쿕ꆢ뛔쒿뇪웳튵뷸탐볛횵움맀맽돌훐닺짺뗄닆컱럧쿕ꆣ 폐맘늢릺맀볛럧쿕뗄퇐뺿 듓뛔웳튵늢릺럧쿕뗄벺폐퇐뺿뿉틔뾴돶ꎬ헫뛔웳튵늢릺맀볛럧쿕뗄쏅퇐뺿벸뫵쎻폐ꎬ룼뛠뗄쫇퓚뛔웳튵늢릺럧쿕뗄퇐뺿훐짦벰튻킩쿠맘쓚죝ꆣ돂릲죙뫍났횾좺ꎨ2002ꎩ붫쒿뇪웳튵볛횵움맀럧쿕ퟷ캪웳튵늢릺닆컱럧쿕뗄훘튪ퟩ돉늿럖ꎬ웤듳킡듓룹놾짏좡뻶폚탅쾢늻뛔돆돌뛈ꆣ헅뒫쏷뫍췵풾ꎨ2003ꎩ죏캪늢릺볛룱쫇닺짺늢릺럧쿕뗄ퟮ듳틲쯘ꎬ춬쪱튲쫇늢릺웳튵뿘훆늢릺럧쿕뗄ퟮ폐샻릤뻟ꆣ쳆뮪쎯ꎨ2003ꎩ횸돶쒿뇪웳튵맘솪붻틗ꆢ쒿뇪웳튵믡볆뒦샭랽램ꆢ쒿뇪웳튵닺낲좫탔ꆢ쒿뇪웳튵닺닆컱ힴ뿶늻좷뚨탔뗈뚼뿉쓜떼훂늢릺맀볛럧쿕ꆣ뫂쿾퇣ꎨ2003ꎩ죏캪웳튵볛횵움맀럧쿕쫇늢릺닆컱럧쿕뗄훷튪랽쏦횮튻ꎬ평듋퓬돉닺뢺햮싊맽룟뿉쓜쪹늢릺웳튵쿝죫닆컱삧뺳ꆣ뎯퇴뫍훜췱ꎨ2004ꎩ뛔늢릺첸에붻틗뷗뛎뗄럧쿕뚨틥캪움맀럧쿕ꆢ첸에럧쿕뫍뛠뢶럧쿕ꎬ움맀랽램ꆢ움맀닎쫽뫍움맀뇪ힼ늻춬뚼믡떼훂움맀뷡맻컳닮ꆣ 횻폐짙쫽톧헟뛔웳튵늢릺훐뗄맀볛럧쿕ퟷ쇋쏅퇐뺿ꆣ헅ꎨ2002ꎩ횸돶죧맻늢릺돉놾뇈쒿뇪웳튵뗄볛횵룟돶뫜뛠ꎬ뻍닺짺쇋뛠뢶럧쿕ꆣ쯯쳎ꎨ2003ꎩ붫쒿뇪웳튵맀볛럧쿕뚨틥캪ꎬ퓚웳튵늢릺맽돌훐평폚늢릺쫐뎡뗄볛룱늨뚯뫍늢릺쮫랽늩?뗄뷡맻뛸퓬돉뗄늢릺웳튵쫕릺쒿뇪웳튵뗄쪵볊횧뢶볛룱욫샫웚췻볛룱뗄뿉쓜탔벰웤돌뛈ꆣ듋췢ꎬ쯻뮹듓막욱쫐뎡쫕릺뫍막럝튪풼쫕릺솽룶랽쏦뛈솿쇋쒿뇪웳튵쫕릺뗄ퟛ뫏럧쿕ꆣ샮볌횾뫍샮쏷쿍ꎨ2004ꎩ붫쒿뇪웳튵볛횵움맀럧쿕뗄풭틲맩캪탅쾢늻뛔돆ꆢ 4
웳튵볛횵움맀쳥쾵늻붡좫ꆢ좱랦훐뷩ퟩ횯ꆢ헾뢮룉풤첫뛠쯄룶랽쏦ꆣ샮탂량ꎨ2005ꎩ횸돶쒿뇪웳튵뗄볛횵움맀럧쿕쫇웳튵늢릺맽돌훐ퟮ훘튪뗄럧쿕횮튻ꎬ횱뷓펰쿬떽웳튵늢릺뗄뫳탸믮뚯ꎬ뻶뚨늢릺쫇럱쓜릻돉릦ꆣ 뿉볻ꎬ쯤좻훐맺웳튵늢릺쏦쇙룷훖룷퇹뗄럧쿕ꎬ떫컞싛쓄훖럧쿕뚼컞튻샽췢뗘춨맽늢릺돉놾펰쿬맀볛럧쿕ꎬ웳튵늢릺뗄쯹폐럧쿕ퟮ훕뚼믡벯훐떽맀볛럧쿕짏ꎬ뷶뷶뛔웤뷸탐뚨탔럖컶쫇풶풶늻릻뗄ꎬ뾪햹늢릺맀볛럧쿕뚨솿퇐뺿쿔뗃폈캪훘튪ꆣ 퇐뺿쓚죝ꆢ랽램벰뒴탂 퇐뺿늢릺맀볛럧쿕ꎬ탨튪뷢뻶틔쿂컊쳢ꎺ쪲쎴쫇늢릺맀볛ꎬ늢릺맀볛럧쿕죧뫎뷧뚨ꎬ퓬돉컒맺웳튵늢릺맀볛럧쿕뗄훷튪풭틲폐쓄킩ꎬ늢릺맀볛럧쿕죧뫎뷸탐뚨솿럖컶ꎬ죧뫎맦뇜늢릺맀볛럧쿕ꆣ놾컄솢ퟣ폚쒿잰맺쓚뗄쿖쪵뮷뺳ꎬ럖컥헂첽쳖쇋틔짏컊쳢ꎬ내헕샭싛ꆪꆪ럖컶ꆪꆪ뷡싛뗄싟벭쮳탲햹뾪ꎬ웤뷡릹춼볻춼쯹쪾ꆣ 뗚튻헂탷싛ꎬ닻쫶놾퇐뺿뗄놳뺰벰틢틥ꆢ맺쓚췢폐맘퇐뺿뚯첬ꆢ놾퇐뺿뗄쓚죝ꆢ랽램벰뒴탂ꆣ 뗚뛾헂쫇뫳탸룷헂퇐뺿뗄믹뒡ꎬ뗚튻뷚퓚횸돶늢릺맀볛뗄뒫춳랽램뗄뇗뛋뫳틽죫쪵컯웚좨랽램ꎬ뗚뛾뷚퓚뷧뚨늢릺맀볛럧쿕뗄믹뒡짏럖컶웤훷튪탎돉풭틲ꆣ 뗚죽헂쫇쒣탍럖컶늿럖ꎬ뗚튻뷚럖컶쒣뫽ퟛ뫏움볛쒣탍뗄릹붨맽돌늢횸돶웤늻ퟣꎬ뗚뛾뷚럖컶죋릤짱뺭췸싧쒣탍뗄볆쯣늽훨뫳횸돶웤좱쿝ꎬ뗚죽뷚틽죫VaR쒣탍살움볛웳튵늢릺맀볛럧쿕ꆣ 뗚쯄헂쫇낸샽럖컶늿럖ꎬ뗚튻뷚럖컶냗쎨벯췅늢릺PT쮫승뗄낸샽ꎬ뗚뛾뷚쳡돶헫뛔늢릺맀볛럧쿕뗄럀랶듫쪩ꆣ 뗚컥헂뷡싛ꎬ뗚튻뷚ퟜ뷡놾컄뗄쓚죝뫍뷡싛ꎬ뗚뛾뷚횸돶뛔뫳탸퇐뺿랽쿲뗄햹췻ꎬ튲쫇놾컄뗄늻ퟣ횮뒦ꆣ 5
탷싛 늢릺맀볛랽램 늢릺맀볛럧쿕움볛 쒣뫽ퟛ뫏움볛쒣탍 죋릤짱뺭췸싧쒣탍VaR쒣탍 낸샽럖컶 럀랶듫쪩 뷡싛 춼 컄헂뷡릹춼 퓚퇐뺿랽램짏ꎬ놾컄퓋폃뺭볃톧뫍뷰죚톧믹놾풭샭뷸탐럖컶ꎬ뷨본컷랽랢듯맺볒뗄럧쿕움볛쒣탍ꎬ닉폃샭싛럖컶뫍낸샽럖컶쿠뷡뫏ꆢ뚨탔럖컶뫍뚨솿럖컶쿠뷡뫏뗄킴ퟷ랽램ꎬ뮹쪹폃쇋뛠훖쫽톧랽램뫍쒣탍ꎬ 샽죧쪵컯웚좨랽램ꆢ쒣뫽ퟛ뫏쒣탍ꆢ죋릤짱뺭췸싧쒣탍뫍VaR랽램뗈ꆣ 놾컄뗄뒴탂횮뒦퓚폚ꎬ튻쫇붫쪵컯웚좨뚨볛쒣탍퓋폃폚늢릺맀볛ꎬ뛾쫇쳡돶퓋폃VaR쒣탍뛔컒맺웳튵늢릺훐뗄맀볛럧쿕뷸탐뛈솿ꎬ죽쫇톡좡쇋쪵볊낸샽뛔쪵컯웚좨쒣탍뫍VaR쒣탍뷸탐쇋퇩횤ꎬ쯄쫇쳡돶쇋뻟폐헫뛔탔뫍뿉닙ퟷ탔뗄럀랶듫쪩ꆣ 6
2 늢릺맀볛벰웤럧쿕 늢릺맀볛 쒿뇪웳튵뗄볛횵움맀쫇늢릺뗄쫗튪늽훨뫍맘볼뮷뷚ꎬ웤쒿뗄퓚폚믱뗃헦쪵뗄닺볛횵쿲늢릺웳튵쳡릩뿉뾿뗄뻶닟틀뻝ꎬ쯼뛔웳튵늢릺뗄돉냜웰뻶뚨탔ퟷ폃ꎬ횻폐헽좷움맀쒿뇪웳튵볛횵닅쓜쪹늢릺믮뚯쮳샻뷸탐ꆣ 뒫춳맀볛랽램 뒫춳맀볛랽램훷튪럖캪죽듳샠ꎬ벴듓돉놾죫쫖뗄맀볛랽램ꆢ듓쫐뎡죫쫖뗄맀볛랽램뫍듓쫕틦죫쫖뗄맀볛랽램ꆣ듓돉놾죫쫖뗄맀볛랽램폐샺쪷돉놾램뫍훘훃돉놾램ꎨMartinꎬ1996ꎩꎻ듓쫐뎡죫쫖뗄맀볆랽램폐쫐뎡볛횵램ꆢ뇈뷏볛횵램뫍쟥쯣볛횵램ꎻ듓쫕틦죫쫖뗄맀볆랽램폐캴살쫕틦쳹쿖램ꆢ쿖뷰쇷쳹쿖램뗈ꆣ 1ꎮ샺쪷돉놾램ꆣ헋쏦볇퓘뗄룷쿮닺뗄돉놾쿠볓횮뫍벴캪쒿뇪웳튵뗄볛횵ꎬ헢쫇ퟮ볲떥춬쪱튲ퟮ늻뿆톧뗄맀볛랽램ꆣ 2ꎮ훘훃돉놾램ꆣ붫샺쪷돉놾뇪ힼ뮻돉훘훃돉놾뇪ힼꎬ틔닺쿖탐돉놾캪볆볛믹뒡볆쯣쒿뇪웳튵볛횵ꆣ 3ꎮ쫐뎡볛횵램ꎨ췵죙뗈ꎬ2003ꎩꆣ튻냣폃폚쒿뇪웳튵캪짏쫐릫쮾뗄늢릺뚨볛ꎬ쒿뇪웳튵볛횵=룃웳튵막욱쫐볛×막럝ퟜ쫽ꆣ웤좱쿝쫇막욱쫐볛뺭뎣늨뚯ꎬ늢쫜떽탭뛠틲쯘ꎨ춶헟샻죳풤웚ꆢ헾훎쫂볾ꆢ춶탄샭뗈ꎩ뗄펰쿬ꎬ쪹막욱쫐볛늢늻쫇쒿뇪웳튵볛횵뗄릫헽뛸좷뚨탔뗄움맀ꆣ 4ꎮ쟥쯣볛횵램ꆣ퓚쒿뇪웳튵돶쿖닆컱캣믺뛸떼훂웆닺믲춣튵쟥쯣쪱ꎬ뛔쒿뇪웳튵뗄닺ꆢ뢺햮뫍짌폾훰룶럖샫늢뷸탐움맀ꎬ볓ퟜ뫳벴뗃돶쒿뇪웳튵뗄볛횵ꆣ룃랽램뷶퓚쳘쫢쟩뿶쿂쫊폃ꆣ 5ꎮ뇈뷏볛횵램ꆣ붫막욱쫐뎡짏폫쒿뇪웳튵뺭펪튵벨쿠쯆뗄릫쮾ퟮ뷼욽뻹쪵볊붻틗볛룱ퟷ캪맀쯣웳튵볛횵뗄닎헕컯ꆣ퓚횤좯쫐뎡짏뇪릺릫뾪짏쫐릫쮾쪱펦폃뷏뛠ꎬ튪쟳늢릺쫐뎡랢듯ꆢ폐킧ꆢ붻틗믮풾ꆣ쒿잰컒맺횤좯쫐뎡짐캴돉죈ꎬ믹놾짏늻쓜폃 7
룃랽램좷뚨쒿뇪웳튵뗄볛횵ꆣ 6ꎮ캴살쫕틦쳹쿖램ꆣ맀볆쒿뇪웳튵놻늢릺뫳룷쓪뗄쫕틦쟩뿶ꎬ틔벰폃폚볆쯣헢킩쫕틦쳹쿖횵뗄쳹쿖싊ꎬ볆쯣돶룷쓪풤웚쫕틦뗄쳹쿖횵뗄ퟜ뫍벴캪쒿뇪웳튵뗄볛횵ꆣ쯼뫍쿖뷰쇷쳹쿖램뗄쮼슷튻훂ꎬ떫튲폐늻춬횮뒦ꆣ 7ꎮ쿖뷰쇷쳹쿖램ꎨDCFꎬDiscounted Cash Flowꎩꆣ헢쫇웳튵늢릺훐움맀쒿뇪웳튵볛횵ퟮ뎣폃뗄랽램ꎬ쯼춨맽맀볆쒿뇪웳튵놻늢릺뫳룷쓪뗄쿖뷰쇷ꎬ틔벰폃폚볆쯣헢킩쿖뷰쇷쳹쿖횵뗄헛쿖싊ꎬ쟳뗃헢킩캴살뿉쓜퓶볓뗄쿖뷰쇷뗄쿖횵ꎬퟷ캪쒿뇪웳튵뗄볛횵짏쿞ꆣ믹놾뗄볆쯣쒣탍폐삭냍늨쳘(Rappaport)쒣탍뫍캤쮹뛙 (Weston)쒣탍ꎨ쟘쾲뷜ꎬ2003ꎩꆣ 쪵컯웚좨랽램 듓웚좨맛뗣살뾴ꎬ늢릺뻟폐틔쿂쳘헷ꎨ쇖뫨컵ꎬ2005ꎩꎺ튻쫇늢릺쫕틦뗄늻좷뚨탔ꆣ킭춬킧펦ꆢ췢늿뺭펪뮷뺳뗈뚼믡뛔늢릺쫕틦닺짺뷏듳펰쿬ꆣ헢훖늻좷뚨탔풽듳ꎬ폃쫕틦뗄웚췻쳦듺쫕틦뗄컳닮풽듳ꆣ뛾쫇늢릺뗄뿉퇓동탔ꆣ늢릺웳튵펵폐릺싲쒿뇪웳튵뗄믺믡쪱ꎬ뿉퓚튻뚨쪱웚쓚놣쇴헢튻믺믡ꎬ룹뻝쪵볊뺭볃ힴ뿶뗄뇤뮯뻶뚨ퟮ병늢릺쪱믺뫍늢릺뻶닟ꎬ틔붵뗍늢릺럧쿕ꆣ죽쫇늢릺뗄뿉뇤탔ꆣ늢릺웳튵뿉퓚쒿뇪웳튵탎쫆늻병뗄쟩뿶쿂훐횹늢릺ꎬ벴늢릺뻟폐퇓동웚좨ꎻ늢릺췪돉뫳늢릺웳튵뿉볓듳뛔쒿뇪웳튵뗄춶ꎬ퓲늢릺웳튵횴탐쇋뛔쒿뇪웳튵뗄삩헅웚좨ꎻ늢릺웳튵뮹뿉틔룄뇤쒿뇪웳튵뗄뺭펪랶캧믲붫웤닺룄ퟷ쯻폃ꎬ듓뛸횴탐쇋뛔쒿뇪웳튵뗄뮻웚좨ꎻ죧맻늢릺뫳웳튵쓚췢늿뮷뺳랢짺늻샻뇤뮯ꎬ퓲늢릺웳튵뿉틔횴탐쫕쯵뺭펪믲돶쫛늿럖닺뗄쫕쯵웚좨믲럅웺웚좨ꆣ 늢릺뗄헢킩쳘헷쮵쏷늢릺뻟폐샠쯆폚웚좨뗄탔훊ꆣ늢릺믺믡쿠떱폚늢릺웳튵돖폐싲랽웚좨(Call Options)ꎬ늢릺랢짺쿠떱폚횴탐웚좨ꎬ쪵쪩늢릺훐틾몬뗄쇩믮탔뫍믺믡쯹탨뗄돉놾쿠떱폚웚좨뗄횴탐볛룱(X)ꎬ늢릺훐틾몬뗄쇩믮탔뫍믺믡닺짺뗄쫕틦쿠떱폚웚좨뇪뗄닺뗄쫐뎡볛룱(S)ꎬ늢릺훐틾몬뗄쇩믮탔뫍믺믡뗄폐킧웚볤쿠떱폚 웚좨뗄떽웚쪱볤(T)ꎨKogut and Kulatilakaꎬ2004ꎩꎬ볻뇭쯹쪾ꆣ 8
뇭 뷰죚웚좨뫍쪵컯웚좨ꎨ늢릺ꎩ쿠맘닎쫽뗄뛔펦맘쾵 닎쫽 뷰죚웚좨 쪵컯웚좨 S 뇪뗄컯닺뗄쿖탐볛룱 쒿뇪웳튵뗄헋쏦뺻닺 X 뇪뗄컯닺뗄횴탐볛룱 늢릺쒿뇪웳튵뗄춶돉놾 T 웚좨뗄돖폐웚쿞 뻶닟쪱볤뗄웚쿞 σ 뇪뗄컯볛룱뗄늨뚯싊 쒿뇪웳튵뺻닺뗄늨뚯싊 컞럧쿕샻싊 컞럧쿕샻싊 r f뒫춳맀볛랽램뫶쫓쇋늢릺웳튵펵폐뗄늢릺웚좨볛횵ꎬ뛔웳튵볛횵뗄움맀늢늻ힼ좷ꆣ쒿뇪웳튵볛횵평폚킭춬킧펦뛸쳡룟ꎬ헢늿럖볛횵퓶솿뿉뾴ퟷ쫇믹폚뺻닺볛횵뗄뾴헇웚좨ꎬ틲듋뿉탞헽Black-Scholes웚좨뚨볛쒣탍살움맀쒿뇪웳튵볛횵ꆣ웚좨랽램캪쒿뇪웳튵맀볛쳡릩쇋탂쮼슷뫍탂랽램ꎬ쪹늢릺웳튵쓜릻듓냑컕캴살킭춬킧펦뗄뷇뛈살움맀쒿뇪웳튵볛횵ꆣ퓋폃웚좨뚨볛샭싛살움맀웳튵볛횵ꎬ뛔폚늢릺뗄릩쟳쮫랽뚼뻟폐햽싔틢틥ꎬ늢릺웳튵뿉헒돶볛횵놻뗍맀뗄웳튵ꎬ뛸쒿뇪웳튵뿉틔폐킧럀횹볛횵놻뗍맀ꆣDixit뫍Pindyckꎨ1994ꎩ샠뇈쇋춶믺믡폫쏀쪽뾴헇웚좨뗄쿠춬횮뒦ꎬ횸돶늻좷뚨탔벫듳뗘펰쿬ퟅ춶탐캪ꎬ웚좨뚨볛랽램뿉틔폃폚맀볛춶뻶닟뗄죡탔ꆣ 1ꎮ믹놾볙짨 죧뇭쯹쪾ꎬS뇭쪾쒿뇪웳튵뗄뺻닺볛횵ꎨ벴뺭맽뗷헻뫳뗄헋쏦볛횵ꎩꎬC뇭쪾쒿뇪웳튵캴살퓶뎤믺믡뗄쳹쿖횵ꎬ벴늢릺웳튵늢릺쒿뇪웳튵뫳퓚캴살T쪱볤쓚뛔웤뷸탐튵컱헻뫏ꆢ맜샭킭춬뫍닆컱킭춬뗈믮뚯뗄좨샻뗄볛횵ꎬ뿉틔뾴ퟷ쫇싲죫뺻닺볛횵뗄뾴헇웚좨ꆣ퓲듓웚좨맛뗣살뾴ꎬ쒿뇪웳튵볛횵V평뺻닺볛횵S뫍믹폚뺻닺볛횵뗄뾴헇웚좨뗄볛횵Cퟩ돉ꎬ벴V=S+Cꆣ X뇭쪾늢릺웳튵캪늢릺쒿뇪웳튵쯹춶죫뗄돉놾ꎬr뇭쪾컞럧쿕샻싊ꆣ떱V≥X쪱f늢릺웳튵믱뗃웚좨쫕틦V−Xꎬ떱V<X쪱웚좨쎻폐쫕틦ꎬ죧춼쯹쪾ꆣ () 9
웚 좨웚좨돖폐헟(늢릺웳튵)믱뗃닮뛮 쫕 틦 춼 웚좨쫕틦춼 2ꎮ웳튵늢릺뗄웚좨뚨볛 1973쓪ꎬ쏀맺횥볓룧듳톧뷌쫚럑톩·늼삳뿋(Fisher Black)뫍쮹첹뢣듳톧뷌쫚쎷슡·쮹뿆뛻쮹(Myron Scholes)퓚뛾쿮쪽웚좨뚨볛쒣탍뗄믹뒡짏ꎬ퓋폃컞럧쿕췪좫쳗웚놣횵뫍쒣쓢춶ퟩ뫏ꎬ쳡돶쇋훸쏻뗄Black-Scholes웚좨뚨볛쒣탍(Option Pricing Model, OPM)ꎬ돉릦뗘쟳뷢쇋얷쪽웚좨뗄뚨볛컊쳢ꎬ춻웆탔뗄뗚튻듎룸돶쇋얷쪽웚좨볛룱뗄뺫좷뷢ꎨAmram and Kulatilakaꎬ1999ꎩꆣBlack-Scholes웚좨뚨볛쒣탍ퟔ닺짺틔살ꎬ퓚횤좯웚좨붻틗뗄펦폃훐믱뗃쇋뻞듳뗄돉릦ꎬ벺돉캪뷰죚뺭볃톧랢햹뗄튻듳믹쪯ꆣBlack-Scholes웚좨뚨볛쒣탍돉캪쿖듺뷰죚샭싛뗄듺쏻듊ꎬ늢돉캪떱뷱뷰죚퇐뺿훐뷰죚샭싛폫쪵볹쿠뷡뫏뗄퇐뺿훷쇷ꆣ 쒿뇪웳튵뗄볛횵V럾듓뛔쫽헽첬럖늼ꎬ벴 2σ2lnV∼Nµ−T,Tσ 2웤훐ꎬµ뇭쪾뺻닺볛횵퓶뎤싊뗄쓪뻹횵ꎬσ뇭쪾뺻닺볛횵퓶뎤싊뗄늨뚯싊(벴쓪뇪ힼ닮)ꆣ 룹뻝BlackꆪScholes웚좨뚨볛릫쪽ꎬ뗃떽쒿뇪웳튵뗄웚좨뚨볛릫쪽캪 −rTf C=SN(d)−XeN(d) 121122ln(S/X)+(r+σ)Tln(S/X)+(r−σ)Tff22웤훐ꎬd=ꎬd==d−σT 11σTσT평듋뿉횪ꎬ쒿뇪웳튵뗄웚좨볛횵ꎨCꎩ쫜뺻닺볛횵(S)ꆢ횴탐볛룱(X)ꆢ컞럧쿕 10
샻싊(r)ꆢ늢릺뫳뛔쒿뇪웳튵뗄돖폐웚(T)뫍뺻닺볛횵뗄뇪ힼ닮(σ)컥룶틲쯘뗄f펰쿬ꆣ −rΤf뷸튻늽럖컶뿉횪ꎬ−e<1ꎬ0<Νd<1ꎬ 맊C쯦S떥뗷뗝퓶떫퓶럹뷏킡ꆣ()1∂C−rT−rΤ−rΤfff=−eꎬ−e<0쟒−e<1ꎬ맊C쯦X떥뗷뗝복떫복럹튲뷏킡ꆣ ∂X춨맽뇈뷏V뫍X뿉틔횱뷓에뛏붻틗쫇럱뫏샭ꎬ죴V≥X뿉죏캪늢릺붻틗볛룱뇈뷏뫏샭ꎬ죴V<X퓲뿉죏캪늢릺뚨볛맽룟ꆣ 쯤좻퓚쿖쪵훐쓜췪좫싺ퟣ웚좨뚨볛쒣탍쯹폐볙짨쳵볾뗄쟩탎뫜짙ꎬ떫Black-Scholes웚좨뚨볛쒣탍죔좻쫇쒿잰움맀웚좨볛횵ퟮ뫃뗄쒣탍횮튻ꆣ맺췢뗄퇐뺿뷡맻뇭쏷퓚뻸듳뛠쫽쟩뿶쿂ꎬ춨맽Black-Scholes웚좨뚨볛쒣탍볆쯣뗄웚좨볛룱폫쪵볊볛룱쿠떱뷓뷼ꎨBenaroch and Kauffmanꎬ1999ꎩꆣ 퓚웳튵볛횵움맀훐ꎬ웚좨뚨볛쒣탍쓜폐킧움맀늻좷뚨뗄믺믡볛횵ꆣ떫튪힢틢ꎬ웚좨뚨볛쒣탍뗄잰쳡볙짨뇈뷏퇏룱ꆣퟜ쳥뛸퇔ꎬ웚좨뚨볛쒣탍붫룷훖뺭볃믮뚯훃폚뚯첬뺭볃뮷뺳훐ꎬ뾼싇췢늿늻좷뚨뗄뺭볃쳵볾펰쿬ꎬ퓚튻뚨돌뛈짏싺ퟣ쇋쿖듺뺭볃퓶뎤늻뛏돶쿖믺폶뗄랢햹쳘뗣ꎬ늢쟒뿉틔솿뮯룷훖믺믡볛횵ꎬ뻟놸뒫춳맀볛랽램늻뿉뇈쓢뗄폅풽탔ꆣ 쯤좻쪵컯웚좨럖컶랽램캪웳튵뗄춶뻶닟쳡릩쇋튻룶햸탂뗄쮼슷ꎬ떫쪵컯웚좨램늢늻쫇퓚죎뫎쟩뿶쿂뚼쫊폃뗄ꆣ뛔폚튻킩늻듦퓚죎뫎웚좨쳘헷믲쯤듦퓚웚좨쳘헷떫늻좷뚨탔럇뎣킡뗄춶뻶닟뷸탐맀볛쪱ꎬ튻냣닉폃뒫춳뗄럖컶랽램(죧뺻쿖횵램)뻍뿉좡뗃뷏뫃뗄킧맻ꆣ뛸퓚쿂쇐쟩뿶쿂ꎬ춨뎣펦닉폃쪵컯웚좨랽램ꎨGlasserman et alꎬ1999ꎩ:늻뿉쓦춶쿮쒿뗄늻좷뚨탔럇뎣듳ꎬ뗈듽틔믱좡룼뛠뗄탅쾢살뇜쏢늻뿉쓦춶닺짺뗄쯰쪧돉캪ퟮ쏷훇뗄톡퓱쪱ꎻ듦퓚믲폐춶믺믡ꎬ쎻폐웤쯻랽램뿉틔헽좷맀볛헢샠믺믡쪱ꎻ춶쿮쒿뗄볛횵쫇평캴살뗄퓶뎤웚좨뻶뚨뛸늻쫇평떱잰뗄쿖뷰쇷뻶뚨쪱ꎻ퓚쿮쒿쪵쪩맽돌훐탨튪탞헽믲뗷헻쪱ꎻ늻좷뚨탔ퟣ릻듳ꎬ뇘탫뾼싇쇩믮탔쪱ꆣ 뒫춳뗄웳튵늢릺볛횵맀볛랽램뫶쫓쇋웳튵늢릺틾몬뗄웚좨볛횵ꎬ뛸쪵컯웚좨샭싛퓲쳡릩쇋튻훖룼캪좫쏦ꆢ뫏샭뗄뻶닟랽램ꆣ떫쯼늻쫇뛔뒫춳뻶닟럖컶랽램(죧NPVꎬ뻶닟쫷뗈)뗄볲떥럱뚨ꎬ뛸쫇퓚놣쇴뒫춳랽램뗄뫏샭쓚몭뗄믹뒡짏ꎬ뛔룟럧쿕ꆢ늻좷 11
뚨탔틲쯘벰웤쿠펦뮷뺳뇤뮯ퟶ돶믽벫쿬펦뗄튻훖쮼캬랽쪽ꆣ쪵컯웚좨샭싛뿉틔뛔틔잰컞램ힼ좷맀쯣뗄룷훖믺믡ꆢ쇩믮탔뚨볛ꎬ듓뛸뚨솿뗘뛔웤뷸탐움맀뻶닟ꆣ쪵컯웚좨샭싛벺뺭놻맣랺펦폃퓚ퟔ좻풴춶ꆢ죡탔훆퓬쾵춳ꆢR&D쿮쒿ꆢ웳튵늢릺뻶닟뗈짦벰놾풤쯣뗄퇐뺿쇬폲ꎬ듸살쇋닆컱샭싛뗄좫쏦춻웆폫룼탂ꆣ 늢릺맀볛럧쿕 늢릺맀볛럧쿕뗄뷧뚨 훐맺웳튵뛔늢릺훐쒿뇪웳튵뗄볛횵움맀웕뇩좱랦뺭퇩ꎬ폐쪱뿉쓜랢짺돶볛맽룟믲맽뗍뗄쿖쿳ꆣ죧맻늢릺볛룱쿠뛔폚쒿뇪릫쮾볛횵룟돶뷏뛠ꎬ믡펰쿬늢릺웳튵캴살쫕틦ꎬ짵훁퓚햮컱ꆢ뺭펪돉놾벰샻죳랽쏦듸살뻞듳톹솦ꆣ죧맻늢릺웳튵뛔쒿뇪웳튵뗄뚨볛맽뗍ꎬ뿉쓜떼훂쒿뇪웳튵럅웺첸에ꎬ늻뷶쪹늢릺웳튵뗄잰웚돉놾컞램쫕믘ꎬ뮹믡펰쿬늢릺웳튵뗄짺닺뺭펪벰웳튵탅폾ꆣ 늢릺맀볛럧쿕쫇횸퓚웳튵늢릺훐ꎬ평폚탅쾢늻뛔돆뛸뛔쒿뇪웳튵볛횵움맀늻ힼ좷뗄늻좷뚨탔뫍뿉쓜탔ꎬ헢훖늻ힼ좷냼삨솽훖쟩뿶ꎬ튻쫇맽룟맀볆늢릺킭춬킧펦뛸횧뢶맽룟틧볛틽웰늢릺웳튵닆컱ힴ뿶뛱뮯믲닆컱돉맻쯰쪧ꎬ뛾쫇맽뗍맀볆쒿뇪웳튵뗄볛횵뛸돶볛맽뗍떼훂늢릺쪧냜늢쪹늢릺웳튵쯰쪧잰웚춶죫ꆣ 늢릺맀볛럧쿕뗄돉틲 1ꎮ닆컱놨뇭뗄뻖쿞탔뫍헦쪵탔 닆컱놨뇭쫇폐쳘뚨볙짨잰쳡늢횴탐춳튻맦랶뗄믡볆닺컯ꎬ웤쫽뻝횻쓜퓚맦뚨틢틥짏쪹폃뛸늻쓜뷒쪾웳튵좫늿쪵볊쟩뿶ꆣ훷튪뇭쿖퓚믡볆헾닟뿉죋캪톡퓱ꆢ늻쓜랴펳믲폐쫂쿮뫍웚뫳쫂쿮ꆢ늻쓜랴펳웳튵쯹폐샭닆탐캪ꆢ늻쓜랴펳훘튪풴볛횵벰훆뛈낲업ꎨRossꎬ2000ꎩꆣ 닆컱놨뇭ퟷ캪볛횵움맀뗄훘튪틀뻝ꎬ웤헦쪵탔튲쫇튻룶훘튪틲쯘ꆣ캪쳓쮰슩쮰뛸캱ힰ닆컱놨뇭ꆢ캪듯떽엤막믲늻놻훕횹짏쫐뗈쒿뗄뛸뷸탐펯폠맜샭ꆢ믡볆죋풱벼쫵닙ퟷ쪧컳뗈틲쯘뚼쪹닆컱놨뇭놾짭듦퓚룷훖듭컳뫍슩뚴ꆣ 2ꎮ늢릺쮫랽탅쾢늻뛔돆 12
평폚탅쾢엻슶늻돤럖ꎬ늢릺웳튵뛔쒿뇪웳튵닺볛횵뫍펯샻쓜솦뗄에뛏췹췹쓑틔ퟶ떽럇뎣ힼ좷ꎬ퓚첸에훐뿉쓜뷓쫜룟폚쒿뇪웳튵볛횵뗄쫕릺볛룱ꎬ떼훂늢릺웳튵횧뢶맽뛠뷰믲틔맽뛠막좨뷸탐훃뮻ꎬ퓬돉닺뢺햮싊맽룟믲쒿뇪웳튵늻쓜듸살풤웚펯샻뛸쿝죫닆컱삧뺳ꆣ뷸튻늽럖컶ꎬ탅쾢훊솿훷튪쫜떽쯄룶틲쯘뗄펰쿬ꎨBcct and Thakorꎬ2001ꎩꎬ튻쫇쒿뇪웳튵쫇짏쫐웳튵뮹쫇럇짏쫐웳튵ꎬ뛾쫇늢릺쫇짆틢늢릺뮹쫇뛱틢늢릺ꎬ죽쫇늢릺ힼ놸쪱볤뎤뛌ꎬ쯄쫇늢릺쪱뗣뻠샫짳볆쪱뗣뗄뎤뛌ꆣ 3ꎮ볛횵움맀랽램늻췪짆 컞싛쓄훖움맀랽램뚼폐웤볙짨뫍잰쳡ꎬ쿖쪵쟩뿶캴뇘싺ퟣ쯹폐펦폃쳵볾ꎬ쯹틔쎿훖랽램뚼폐ퟔ짭뗄뻖쿞탔ꆣ샽죧ꎬ쿖뷰쇷쳹쿖램뗄풤웚틀삵폚뛔쒿뇪웳튵맽좥쫽쓪뺭펪튵벨뗄럖컶움볛ꎬ웤맘볼컊쳢퓚폚뛔캴살쿖뷰쇷솿뗄맀볆뫍뛔쳹쿖싊뗄톡퓱ꎬ헢훖잿쇒뗄훷맛탔췹췹죝틗퓬돉듭컳뗄뷡맻ꆣ퓙볓짏쪵볊퓋폃훐룷훖맀볛랽램늢늻ퟜ쫇놻헽좷톡퓱ꎬ훂쪹늢릺웳튵퓢폶떽늻춬돌뛈뗄맀볛럧쿕ꆣ 4ꎮ닺움맀믺릹랢햹훍뫳 맺쓚닺움맀믺릹평볆뮮닺짺늢쫜떽퇏룱탐헾맜훆ꎬ좱랦쫐뎡뗄퇏룱즸톡뫍쳔청믺훆풼쫸ꆣ헢훖늻돤럖뺺헹쪹컒맺닺움맀믺릹랢햹벫늻췪짆ꎬ좱랦뛀솢ꆢ뿍맛ꆢ릫헽뗄횰튵뗀뗂ꎬ럾컱욷훖?랦쟒훊솿뗍쿂ꎬ움맀벼쫵뫍쫖뛎벫늻돉쫬ꆣ퓚뛠랽룉풤믲ퟔ짭샻틦뗄쟽뚯쿂ꎬ닺움맀믺릹폫캯췐죋릲춬퓬볙뗄쿖쿳싅볻늻쿊ꎬ늻맋횰튵뗀뗂돶뻟탩볙늻쪵뗄움맀놨룦ꎬ춶헟뛔웤돏탅뛈뫍좨췾탔죏뿉뛈뫜뗍ꆣ 5.웤쯼틲쯘 맀볛쒿뗄ꆢ쒿뇪웳튵닺탔훊ꆢ늢릺붻틗뗄뿘훆좨ꆢ닺뿉붻틗탔ꆢ쒿뇪웳튵쯹퓚탐튵뗄쫐뎡뺺헹ힴ뿶ꆢ늢릺웳튵햽싔맦뮮ꆢ쳘쫢막좨뷡릹ꆢ닺튵짺쏼훜웚ힴ뿶ꆢ듦믵뿉뇤쿖돌뛈ꆢ컞탎닺좨쫴쫇럱듦퓚헹틩ꆢ붻룮잰닺뒦훃틔벰늢릺닺훊솿뗄늻좷뚨탔ꎬ뚼믡퓚튻뚨돌뛈짏닺짺맀볛럧쿕ꆣ 13
3 늢릺맀볛럧쿕움볛 늢릺맀볛럧쿕뗄움볛쫇펦폃쫽톧랽램맀볆웤랢짺뗄룅싊뫍쯰쪧ꎬ캪웳튵늢릺뻶닟럾컱ꆣ떫웳튵늢릺쫇튻룶뢴퓓뗄쾵춳ꎬ짦벰뗄훮뛠틲쯘뻹뻟폐늻좷뚨탔ꎬ뺫좷뛈솿럧쿕쫇늻뿉쓜뗄ꆣ 뒫춳럧쿕움볛쒣탍 쒣뫽ퟛ뫏움볛쒣탍 쒣뫽ퟛ뫏움볛쒣탍ꎨFuzzy Comprehensive Evaluation Modelꎩ틽죫쒣뫽쫽톧샭싛ꎬ붨솢늢릺맀볛럧쿕틲쯘뗄쒣뫽벯뫏ꆢ늢릺맀볛럧쿕뗄좨훘쿲솿뫍움볛늢릺맀볛럧쿕듳킡뗄쒣뫽쿲솿ꎬ살쒣뫽뛈솿늢릺맀볛럧쿕ꎨ뎯퇴ꎬ2004ꎩꆣ 1.붨솢펰쿬늢릺맀볛럧쿕뗄틲쯘벯뫏ꎬ벴싛폲U=U,U,…,Uꆣ ()12n2.폃닣듎럖컶램ꎨAnalytic Hierarchy ProcessꎬAHPꎩ좷뚨룷펰쿬틲쯘퓚늢릺맀볛럧쿕훐뗄좨훘ꎬ벴좨훘쿲솿Α=a,a,…,aꆣ ()12n3. 룹뻝늢릺맀볛럧쿕움볛뗄탨튪좷뚨펰쿬틲쯘닺짺럧쿕뗄늻춬뗈벶ꎬ벴뗈벶쿲솿V=V,V,…,Vꆣ ()12m4. 울쟫춶볒ꆢ늢릺볒ꆢ럧쿕맜샭볒벰웳튵맜샭죋풱ꎬ움볛늢릺맀볛럧쿕뗄룷룶틲쯘ꎬ붨솢웳튵늢릺맀볛럧쿕뗄쒣뫽뻘헳Rꎬ뻘헳훐풪쯘뇭쪾룷펰쿬틲쯘뿉쓜닺짺럧쿕뗄뗈벶벰웤랢짺뗄룅싊ꆣ r…r111mR=#%# r…rn1nm웤훐ꎬr뇭쪾뗚i룶펰쿬틲쯘퓚뗚j룶럧쿕뗈벶짏뗄룅싊ꆣ ij5.샻폃A뫍R볆쯣쒣뫽움볛쿲솿Bꎬ폃틔움볛늢릺맀볛럧쿕뗄듳킡ꎬ쿲솿훐룷풪쯘뇭쪾늢릺맀볛럧쿕퓚룷훖뗈벶짏뗄룅싊ꆣ 14
r…r111mB=AR=a,a,…,a#%#=b,b,…,b ()()12n12mr…rn1nmm죧맻b≠1ꎬ퓲튪뛔웤뷸탐맩튻뮯뒦샭ꆣퟮ뫳뷡맻b뇭쪾늢릺맀볛럧쿕퓚뗚j∑jjj=1룶뗈벶짏뗄룅싊ꆣ 펦폃쒣뫽ퟛ뫏움볛쒣탍뿉틔뚨솿움볛웳튵늢릺맀볛럧쿕ꎬ웤맘볼컊쳢폐죽룶랽쏦ꎬ튻쫇냑컕럧쿕펰쿬틲쯘뗄ힼ좷탔뫍좫쏦탔ꎬ뛾쫇헒돶뫏쫊뗄럖컶랽램뫍쫽뻝믱좡랽램ꎬ죽쫇퇏룱내헕쫽뻝믱좡돌탲뫍튪쟳좡뗃ퟣ릻뗄뫍좷쟐뗄쒣뫽쫽뻝ꆣ 룃랽램뇣폚붫럧쿕뗄쒣뫽탔ꆢ늻좷뚨탔뫍쯦믺탔뷸탐솿뮯ꎬ뻟폐뷏잿뗄뿉닙ퟷ탔ꆣ떫룃랽램뗄쮼쿫맽폚볲떥ꎬ쯹탨쪱볤뷏뎤ꎬ볆쯣맽돌튲뷏랱쯶ꎬ뮹믡쫜떽튻킩뿍맛틲쯘뗄쿞훆ꎬ죧샺쪷쇏늻췪헻탔ꆢ늢릺뢴퓓탔ꆢ뮷뺳뛠뇤탔틔벰죏쪶뻖쿞탔뚼믡쪹늢릺맀볛럧쿕움볛뷡맻돶쿖욫닮ꆣ웤ퟮ듳뗄좱뗣쫇믱뗃뗄풭쪼쫽뻝훷맛탔첫듳ꎬ퓚움볛탨튪뷏룟ힼ좷탔뗄늢릺맀볛럧쿕쪱컳닮뷏듳ꆣ 죋릤짱뺭췸싧쒣탍 죋릤짱뺭췸싧(Artificial Neural NetworkꎬANN)쫇뷼쓪살톸쯙랢햹뗄죋릤훇쓜뿆톧뗄튻룶럖횧ꎬ붫짱뺭췸싧쒣탍펦폃폚럧쿕움볛쫇뷼벸쓪퇐뺿뷏뛠뗄튻훖탂랽램ꆣ샭싛벺뺭횤쏷튻룶죽닣뗄잰삡ꎨBack PropagationꎬBPꎩ뛠닣짱뺭췸싧뿉틔틔죎틢뺫뛈뇆뷼죎틢펳짤맘쾵ꎬ뛔웳튵늢릺맀볛럧쿕뗄움볛뿉틔뾴ퟷ쫇듓룷틲쯘횸뇪쫤죫횵떽ퟮ훕움볛뷡맻쫤돶횵뗄럇쿟탔펳짤ꎨ퇶뻦ꎬ헅엳훹ꎬ2003ꎩꆣ쯼평튻룶쫤죫닣ꆢ튻룶쫤돶닣ꆢ튻룶믲뛠룶틾몬닣ퟩ돉ꎬ죧춼쯹쪾ꆣ탅쾢듓쫤죫닣뾪쪼퓚룷닣횮볤떥쿲뒫능ꎬ틀듎뺭맽룷틾몬닣ꎬퟮ뫳떽듯쫤돶닣ꆣ 퓋폃BP췸싧쒣탍움볛늢릺맀볛럧쿕뗄믹놾풭샭쫇ꎺ쫤죫룷펰쿬틲쯘뗄횸뇪횵ꎬ춨맽룷뷚뗣볤뗄솪뷓잿뛈틔벰랧횵ퟷ폃폚쫤돶뷚뗣ꎬ뺭맽럇쿟탔뇤뮻닺짺쫤돶횵ꎨYang et alꎬ2001ꎩꆣBP짱뺭췸싧쒣탍냼삨쫤죫쫤돶ꆢ럇쿟탔펳짤몯쫽뫍컳닮볆쯣죽룶늿럖ꆣ 15
쫤죫닣 틾몬닣쫤돶닣 wv ijjt x 1 y 1 x y 22 y m x n 춼 죽닣BP췸싧뗄췘웋뷡릹춼 1ꎮ쫤죫쫤돶 nswa−θ j=1,2,…,l ∑jijji=1lLvb−γ t=1,2,…,m ∑tjttj=12ꎮ럇쿟탔펳짤 1f(x)= 1+exp(−x)b=fs j=1,2,…,l ()jjC=fL t=1,2,…,m ()tt3ꎮ컳닮볆쯣 kkd=y−CC1−C t=1,2,…,m ()()tttttmkke=d×vb1−b j=1,2,…,l ()∑jtjtjjt=1 16
m2kEy−C ()k∑ttt=1붫죋릤짱뺭췸싧쒣탍펦폃폚럧쿕움볛ꎬ컞싛듓쮼쿫짏뮹쫇벼쫵짏뚼쫇뛔뒫춳움볛랽램뗄췘햹뫍춻웆ꎬ뷢뻶쇋뒫춳움볛랽램쓑틔뒦샭룟뛈럇쿟탔쒣탍ꆢ좱짙ퟔ쫊펦쓜솦ꆢ탅쾢믱좡뗄킧싊뗍쿂뗈삧쓑ꎬ캪쒣탍쪵폃뮯뗬뚨쇋볡쪵뗄믹뒡ꆣ 떫춬쪱튲펦뾴떽ꎬ짱뺭췸싧쒣탍펦폃폚웳튵늢릺맀볛럧쿕움볛뻟폐튻뚨뗄욬쏦탔뫍쎤쒿탔ꎬ샽죧짱뺭췸싧뗄통솷쫇퓚뫚쿤훐뷸탐뗄ꎬ헢훖퓋쯣?웺쇋탭뛠탐튵뺭퇩뫍볒뺭퇩ꆣ짱뺭췸싧쒣탍짆폚럖컶뚨솿횸뇪ꎬ뛸뫶싔쇋펰쿬틲쯘훐뗄뚨탔횸뇪ꎬ헢쿔좻쫇늻뫏샭뛸쟒늻좫쏦뗄ꆣ폃짱뺭췸싧쒣탍움볛뺭볃컊쳢쪱ꎬ뫜쓑쮵쏷짱뺭췸싧통솷뫳룷닎쫽뫍랧횵뗄뺭볃몬틥ꎬ쪹뗃룃쒣탍룼볓좱랦쮵럾솦ꆣ VaR쒣탍 닺짺폚1993쓪뗄VaR쒣탍벺돉캪뷰죚럧쿕맜샭뗄뇪ힼ랽램ꎬ쯼폐죽훖훷튪볆쯣랽램ꎺ닎쫽램ꎨRisk Metricsꎩꆢ샺쪷쒣쓢램(Historical Simulation) 뫍쏉쳘뾨싞쒣쓢램(Monte Carlo Simulation)ꎬ쎿훖랽램룷폐웤폅좱뗣ꎨPenza and Bansalꎬ2001ꎩꆣ듓20쫀볍90쓪듺뾪쪼ꎬ럧쿕볛횵ꎨValue-at-RiskꎬVaRꎩ쒣탍뻍놻틽죫떽뷰죚럧쿕맜샭훐ꎬ쿖벺돉캪볠맜떱뻖뫍뷰죚믺릹맣랺닉폃뗄럧쿕뛈솿뫍맜샭릤뻟ꆣ샽죧ꎬꆶ냍죻뛻킭틩ꆷꎨBasel Accordꎩꆢꆶ쏀솪뒢쫂잰돐억램ꆷꎨPre-commitment Actꎩ뫍ꆶ얷쏋놾돤ퟣ싊횸쇮ꆷꎨFU Capital Adequacy Directiveꎩ뗈뚼쪹폃VaR쒣탍ퟷ캪볠뚽뇪ힼ횮튻ꆣ본폚듋쒣탍뻟폐맣랺뗄펰쿬솦ꎬ볓횮샭싛뷧늻뛏뛔웤뷸탐삩돤뫍랢햹ꎬ붫웤펦폃폚컒맺웳튵늢릺맀볛럧쿕뗄움볛쫇췪좫뿉탐뗄ꆣ VaR(Value at Risk)벴ꆰ럧쿕볛횵ꆱꎬ쫇횸퓚튻뚨훃탅쮮욽쿂뫍돖폐웚쓚ꎬ쒳뷰죚릤뻟믲웤ퟩ뫏쏦쇙뗄ퟮ듳잱퓚쯰쪧뛮ꎬ튲뻍쫇쮵캴살뗄쯰쪧틔룃룅싊쮮욽늻믡뎬맽헢룶VaR횵ꆣ룃쯰쪧뿉틔쫇뻸뛔뗄튲뿉틔쫇쿠뛔뗄ꎬ웤뚨틥캪ꎺ P(ꇷP<VaR)=δ ꇷt 웤훐ꎬꇷP뇭쪾ꇷt쪱볤쓚폐볛횤좯쫐횵뗄뇤뮯ꎬδ캪룸뚨룅싊ꆣ ꇷt 17
VaR뗄볆쯣랽램 뾼싇튻룶춶ퟩ뫏ꎬ볙뚨P캪춶ퟩ뫏뗄돵쪼볛횵ꎬr캪돖폐웚쓚뗄춶믘놨싊ꎬ0T캪춶ퟩ뫏뗄돖폐웚ꎨ틔쓪캪떥캻ꎩꎬ퓲퓚돖폐웚쒩춶ퟩ뫏뗄볛횵캪∗αP=P1+rꆣ볇µ캪r뗄쓪뻹웚췻믘놨싊ꎬr캪퓚쒳튻훃탅쮮욽쿂뗄ퟮ뗍믘놨싊ꎬ()T0∗∗춶ퟩ뫏뗄ퟮ뗍웚쒩볛횵퓲캪P=P1+rꎬ벴폐 ()T0∗Pr<r=1−α ()룹뻝VaR뗄뚨틥ꎬ춶ퟩ뫏쿠뛔폚웚췻믘놨뗄VaR벴쿠뛔VaR캪ꎨFanꎬ2000ꎩ ∗∗VaR=EP−P=PµΤ−r ()()RTT0틔춶ퟩ뫏뗄돵쪼볛횵캪믹ힼꎬ뿉뚨틥뻸뛔VaR캪 ∗∗VaR=P−P=−Pr A0T0평듋뿉횪ꎬVaR듺뇭춶ퟩ뫏쿠뛔폚웚췻믘놨뗄ퟮ듳쯰쪧뛮ꎬVaR퓲듺뇭춶RAퟩ뫏뗄뻸뛔ퟮ듳쯰쪧뛮ꆣ ∗∗룹뻝짏쫶릫쪽ꎬ볆쯣VaR뻍쿠떱폚볆쯣ퟮ뗍웚쒩볛횵P믲ퟮ뗍믘놨싊rꆣ뾼싇T춶ퟩ뫏캴살믘놨탐캪뗄쯦믺맽돌ꎬ볙뚨웤캴살믘놨싊뗄룅싊쏜뛈몯쫽캪fPꎬ퓲()∗α뛔폚쒳튻훃탅쮮욽쿂뗄춶ퟩ뫏ퟮ뗍볛횵Pꎬ폐 T∗∞PTα=fPdP 믲 1−α=fPdP ()()∗∫∫P−∞ 늢릺웚좨뚨볛럧쿕뗄VaR뛈솿 평잰쫶볙짨ꎬ쒿뇪웳튵뗄볛횵V럾듓뛔쫽헽첬럖늼ꎬ벴 2σ2lnV∼Nµ−T,Tσ 2웤훐ꎬµ뇭쪾뺻닺볛횵퓶뎤싊뗄쓪뻹횵ꎬσ뇭쪾뺻닺볛횵퓶뎤싊뗄늨뚯싊(벴쓪뇪ힼ닮)ꆣ 퓚떽웚죕ꎬ늢릺훐뾴헇웚좨뗄볛횵캪max0,V−XꎬC캪평쪵컯웚좨쒣탍볆쯣() 18
돶뗄웳튵늢릺훐웚좨뗄볛룱ꎬ퓲늢릺뾴헇웚좨퓚T쪱볤뛎쓚뗄쫕틦싊캪 r=max0,V−XC−1 ()∗퓲 1−α=Pr<r ()∗=Pmax0,V−XC−1<r ()∗=Pmax0,V−X<C1+r ()()∗∗=P0<C1+r,V−X<C1+r ()()∗∗∗평r뗄뚨틥뿉횪ꎬ1+r≥0뫣돉솢ꎬ퓲PC1+r>0=1ꎬ평짏쪽뿉뗃 ()∗1−α=PV−X<C+r ()∗=PV<C1+r+X ()∗=PlnV<lnC+Cr+X ()∗=PlnV−lnS<lnC+Cr+X−lnS ()V112∗2ln−µ−σTlnC+Cr+X−lnS−µ−σT()S22=P< σT1∗2lnC+Cr+X−lnS−µ−σT()2퓲 Z= 1−ασT12SexpσTZ+µ−σT−X1−α2∗평듋뗃돶 r=1 C∗룸뚨훃탅쮮욽αꎬ뿉룹뻝짏쪽쟳돶rꎬ좻뫳벴뿉럖뇰쟳돶훃탅쮮욽α쿂뗄쿠뛔VaR뫍뻸뛔VaRꆣ VaR쒣탍폐솽룶쿔훸쳘뗣ꎺ튻쫇쯼내헕쯦믺뇤솿뗄쳘탔ꎬ춨맽쯦믺뇤솿뗄룅싊럖늼살뿌뮭럧쿕뛈솿룅쓮ꎬ틲듋뷏캪좷쟐ꎻ뛾쫇쯼냑좫늿닺ퟩ뫏럧쿕룅삨캪튻룶 19
볲떥뗄쫽ퟖꎬ늢틔믵뇒볆솿떥캻살뇭쪾럧쿕맜샭뗄뫋탄ꆪꆪ잱퓚쯰쪧ꎬ쯹틔쯼뻟폐럇뎣잿뗄컼틽솦ꎬ늢톸쯙뗃틔췆맣ꆣ ퟷ캪럧쿕솿뛈뗄훘튪랽램뫍럧쿕맜샭뗄훘튪릤뻟ꎬVaR쒣탍뻟폐틔쿂벸룶폅풽탔ꎨGuermat and Harrisꎬ2001ꎩꎺ튻쫇돉캪맜샭럧쿕뗄릲춬폯퇔ꎬVaR쒣탍쾵춳룄뇤쇋퓚늻춬쫐뎡좱랦럧쿕춳튻솿뛈뗄ힴ뿶ꎬ쪹늻춬탐튵뗄럧쿕맜샭헟폐쇋릲춬폯퇔ꆣ뛾쫇뷨훺VaR쒣탍쓜폐킧뗘샻폃럧쿕ꆣVaR폫ퟩ뫏닺뗄럖즢탔폐맘ꎬ맊쪹럧쿕맜샭헟쓜틔폐킧뗄랽쪽톡퓱럧쿕욫뫃ꎬ볈쓜룹뻝늻춬럧쿕뗄풤웚쫕틦벰웤뛔ퟜ럧쿕뗄릱쿗퓚늻퓶볓럧쿕뗄쳵볾쿂폐킧뗘삩듳쫕틦ꎬ폖쓜붫ퟜ럧쿕쿞훆럖뷢떽룷룶쇬폲훐좥ꆣ죽쫇럧쿕볛횵뗄ퟮ듳폃춾횮튻쫇샻폃VaR붫틑횪럧쿕뮻캪튪쟳쳡릩놾뗄뛈솿ꆣ뺡맜퓚쫊떱뗄뮻랽램짏늢캴듯떽쿱뛈솿랽램짏쯹좡뗃뗄릲쪶ꎬ떫헢훖뮻죔좻쫇ퟩ뫏럧쿕맜샭뗄맘볼ꆣ 쯤좻쿖뷱VaR쒣탍벺돉캪뷰죚럧쿕맜샭ퟮ쇷탐뫍맣랺쪹폃뗄릤뻟ꎬ떫웤듦퓚뗄뻖쿞탔쮵쏷뮹폐뷸튻늽랢햹뗄잱솦ꎬVaR쒣탍뗄캴살퇐뺿랽쿲훷튪벯훐퓚틔쿂벸룶랽쏦ꎨEmbrechtsꎬ2000ꎩꎺ 뗚튻ꎬ힢훘좫쏦럧쿕맜샭쾵춳뗄ퟷ폃뫍펰쿬ꆣ쿖폐VaR쒣탍믹폚뿍맛룅싊횻맘힢럧쿕럖늼뫍볛룱ꎬ뛸뫶싔쇋럧쿕뿘훆랽쏦뗄웤쯻틲쯘ꆣ좫쏦럧쿕맜샭(Total Risk ManagementꎬTRM)쾵춳뻍쫇튪퓚쿖폐럧쿕맜샭쾵춳뗄떥튻뇤솿ꎬ벴룅싊뗄믹뒡짏퓙볓죫솽룶뇤솿ꎬ벴볛룱뫍욫뫃ꎬ듓뛸쪹럧쿕맜샭퓚뿍맛볆솿폫훷쳥욫뫃뗄뻹뫢훐좫쏦뛈솿럧쿕ꆣ 뗚뛾ꎬ힢틢퓋폃탂뗄럧쿕닢솿횸뇪ꆣ튪붫VaR쒣탍폫폐벫뛋쫂볾뗄몯쫽럖늼솪쾵웰살ꎬ뷸튻늽퇐뺿벫뛋쫂볾뛔VaR쒣탍뗄돥믷뫍펰쿬ꆣ춬쪱뮹튪볓죫쏷쿔뗄캲늿탅쾢럖컶ꎬ틔뇣헽좷뛈솿뫍맜샭뷰죚럧쿕ꆣ 뗚죽ꎬ볓잿뛔쿠죝럧쿕닢뛈(Coherent Risk Measure)랽램뗄퇐뺿ꆣ쒿잰쿠죝럧쿕닢뛈훷튪닉폃Rockafelar쳡돶뗄폅뮯랽램ꆣ룃랽램붫볆쯣CVaR뮯캪튻룶쯦믺맦뮮컊쳢ꎬ늢쟒뿉틔춬쪱럖컶VaR뫍CVaR뗄볆쯣뷡맻ꆣ떫룃랽램횻쫇튻훖뷼쯆쯣램뫍뺲첬쯣램ꎬ늻쓜뒦샭뚯첬컊쳢ꆣ 20
4 낸샽럖컶벰럀랶듫쪩 냗쎨벯췅늢릺쮫승뗧웷뗄낸샽럖컶 늢릺쮫랽놳뺰뷩짜 쮫승뗧웷잰짭쫇돉솢폚1979쓪뗄짏몣뗧뇹쿤뎧ꎬ1992쓪5퓂쮫승뗧웷짏쫐ꎬ떱쓪샻죳ퟜ뛮1483췲풪ꎬ막놾뺻샻싊%ꆣ1996쓪좫맺볒뗧쫐뎡랢짺쇋뫜듳뗄뇤뮯ꎬ떱쓪훷펪튵컱쫕죫벰뺻샻죳춬뇈훨붵%뫍%ꎬ1997쓪뺻닺쫕틦싊%ꎬ쎿막쫕틦풪ꆣ1998쓪4퓂ꎬ쮫승뗧웷돉캪15볒ST짏쫐릫쮾횮튻ꆣ훁1998쓪9퓂ꎬ쎿막쫕틦풪ꎬ뺻닺쫕틦싊%ꆣ1999쓪7퓂5죕웰퓝춣짏쫐ꎬ막욱볲돆캪PT쮫승ꆣ 냗쎨벯췅쫇평풭짏몣뫏돉쾴뗓볁뎧룄훆ퟩ붨뗄맺폐뛀웳튵ꎬ웤좫ퟓ릫쮾짏몣퇀룠뎧폐쿞릫쮾펵폐ꆰ훐뮪ꆱꆢꆰ쏀볓뺻ꆱ뗈훸쏻짌뇪ꆣ훁2000쓪뗗ꎬ룃뎧ퟜ닺4. 24틚풪ꎬ뺻닺1. 63틚풪ꆣ 1998쓪11퓂ꎬ냗쎨벯췅볦늢PT쮫승뗚튻듳막뚫쮫승솪짧ꎬ돖폐%뗄막럝ꆣ2001쓪5퓂18죕ꎬ냗쎨벯췅붫좫ퟓ릫쮾짏몣퇀룠뎧폐쿞릫쮾힢죫PT쮫승ꆣ2001쓪5퓂31죕ꎬPT쮫승붫뺭움맀볛횵캪췲풪뗄뺻닺(헋쏦볛횵17441. 74췲풪)폫짏몣퇀룠뎧내좨틦램볆쯣볛횵캪21628췲풪(헋쏦볛횵17276. 86췲풪)뗄웳튵헻쳥닺볛횵뷸탐뗈뛮훃뮻ꎬ닮뛮췲풪틔쿖뷰늹ퟣꆣ춨맽햮컱훘ퟩꎬPT쮫승릲7. 177틚풪뗄햮컱훐ꎬ틑믱뗃뷢뻶뗄릲풼6. 034틚풪ꎬ짐캴뷢뻶뗄햮컱릲1. 143틚풪ꎬ평짏몣냗쎨(벯췅)폐쿞릫쮾쳡릩솬듸퓰죎떣놣ꆣ춬쪱쮫승릫쮾붫췐맜짏몣퇀룠뎧ꎬ췐맜웚캪1쓪ꎬPT쮫승뿉뗃췐맜럑600췲풪ꆣ 2001쓪6퓂28죕ꎬ쮫랽췪돉헻쳥닺훃뮻뗄닺좨붻틗ꆣ2001쓪8퓂30죕ꎬ릫쮾쿲짏몣횤좯붻틗쯹쳡붻쇋ꆶ맘폚퇓뎤뿭쿞웚뗄짪쟫놨룦ꆷꎬ늢믱ힼ볌탸쿭폐쇹룶퓂뗄뿭쿞웚ꆣ2001쓪8퓂31죕ꎬ릫쮾쏻돆평ꆰ짏몣쮫승뗧웷막럝폐쿞릫쮾ꆱ뇤룼캪ꆰ짏몣냗쎨막럝폐쿞릫쮾ꆱꎬ막욱볲돆뇤룼캪ꆰPT냗쎨ꆱꆣ2002쓪4퓂18죕ꎬPT냗쎨헽 21
쪽햪뗴ꆰPTꆱ쎱ퟓꎬ틔ꆰ냗쎨막럝ꆱ뗄쏻돆믖뢴짏쫐붻틗ꆣ훁듋ꎬ냗쎨막럝뗄싲뿇짏쫐맽돌탻룦췪돉ꆣ 폃쪵컯웚좨쒣탍뛔PT쮫승뷸탐맀볛 PT쮫승뒦폚늻뗖햮뗄ힴ뿶ꎬ쏦쇙웆닺벰췋쫐뗄캣쿕ꎬ폃뒫춳랽램움맀웤볛횵뇘뚨캪뢺ꆣ떫평폚컒맺쳘쫢뗄짏쫐믺훆ꎬ웤뿇풴죔좻뻟폐튻뚨볛횵ꆣ틲듋뿉붫PT쮫승뗄뿇풴뾴ퟷ쪵컯웚좨ꎬ퓋폃Black-Scholes쒣탍뷸탐맀볛ꆣ 놾낸샽쪱볤뿧뛈뷏듳ꎬ듓1998쓪11퓂떽2002쓪4퓂릲볆41룶퓂횮뻃ꆣ늢릺쮫랽헻쳥훃뮻뗄믹ힼ죕캪2001쓪5퓂31죕ꎬ컒쏇붫듋쪱ퟷ캪맀볛뗄쪱볤뗣ꆣ듋쪱PT쮫승뗄뺻닺헋쏦볛횵S= 췲풪ꆣ춨맽싲뿇짏쫐쮫랽뗄햮컱훘ퟩꎬ쮫승릫쮾짐캴뷢뻶뗄햮컱쪵볊볛횵X =11430췲풪ꆣퟔ2001쓪5퓂훁PT쮫승훘탂틔ꆰ냗쎨막럝ꆱ뗄쏻돆폚2002쓪4퓂헽쪽믖뢴짏쫐릲볆9룶퓂ꎬ틲듋룃웚좨뗄폐킧웚T=쓪ꆣ2001쓪랢탐뗄맺햮쓪샻싊캪%ꎬ맊컞럧쿕샻싊r=%ꆣ f톡좡2001쓪1퓂훁4퓂PT쮫승(600633)뗄막볛탐쟩ퟷ캪샺쪷쫽뻝ꎬ죧뇭쯹쪾ꎺ 22
뇭 틔훜볆쯣뗄PT쮫승막욱볛룱믘놨싊뗄늨뚯싊 쫕엌볛 훜믘놨싊 2죕웚 S/S U tt-1tS U=ln(S/S) ퟜ볆 쇏살풴ꎺ ꎨ짏몣횤좯붻틗쯹ꎩ 2nn122평랽닮릫쪽S=U−Uꎨ웤훐n=14ꎩ볆쯣뗃떽뗄훜랽닮캪∑∑ttn−n−()=1=1ꎬ붫뷡맻돋틔52벴뿉뮯캪틔쓪캪쪱볤떥캻뗄랽닮ꎬ퓲σ=ꎬ맊늨뚯싊σ=ꆣ 틲듋ꎬ뿉뗃 23
12ln(S/X)+(r+σ)Tf2d= 1σ+%+×()()114302== ×=d−σT=×= 21N (d)=N ( )=ꎬN (d)=N ( )= 12−rTfC=SN(d)−XeN(d) %×=×-11430×e×= 췲풪 뛸냗쎨벯췅뗄좫ퟓ릫쮾짏몣퇀룠뎧퓚닺훃뮻훐뢶돶쿖뷰-21628 = 췲풪ꆣ쇭췢짏몣퇀룠뎧폖뢶룸PT쮫승캪웚튻쓪뗄췐맜럑600췲ꎬ릲볆 + 600 = 췲풪ꆣ 뿉틔뾴돶ꎬ듋듎늢릺훐쒿뇪웳튵PT쮫승뗄웚좨볛횵풶풶듳폚늢릺웳튵냗쎨벯췅뢶돶뗄쿖뷰ꎬ틲뛸듋볛룱뛔폚냗쎨벯췅쫇폐샻뗄ꆣ틲듋ꎬ뛔폚돖탸뺭펪ꆢ닆컱쓜솦뷏잿늢뻟폐튻뚨랢햹잱솦뗄웳튵살쮵ꎬ캪쪹웳튵붫살쓜뗃떽룼뫃뗄랢햹뛸쪵탐뗄늢릺ꎬ퓚움맀쒿뇪웳튵볛횵뗄맽돌훐펦훷튪닉폃웚좨뚨볛랽램ꎬ퓙룹뻝웳튵늻춬닺뢨틔쫊뫏룃샠탍닺뗄움맀랽램ꎬ폐샻폚돤럖쳥쿖웳튵뗄헻쳥볛횵ꎬ횻폐헢퇹닅쓜룼뫃뗄쪵쿖맺폐닺뗄놣횵퓶횵ꆣ 폃VaR쒣탍움볛맀볛럧쿕 좡α=ꎬ닩뇭뗃Z=ꆣ평뇭뿉횪훜믘놨싊뗄뻹횵쫇ꎬ1−α뮻돉쓪믘놨싊뗄뻹횵벴µ=ꆣ 12SexpσTZ+µ−σT−X1−α2∗r=1 C 24
1 ××+−××−114302= = ∗VaR=PµΤ−r=ꎨ×+ꎩ=췲풪 ()R0∗VaR=−Pr=×=췲풪 A0뿉틔뾴돶ꎬ듋쿮늢릺퓚%뗄훃탅쮮욽쿂뗄ퟮ듳쯰쪧뛮쫇뿉틔뷓쫜뗄ꎬ벴냗쎨벯췅뛔PT쮫승뗄볛횵움맀뗄럧쿕뷏킡ꎬ틲뛸펦룃쪵탐늢릺ꆣ 뛔듋낸샽뗄움볛 2002쓪2퓂27죕ꎬPT냗쎨릫늼뗄2001쓪뛈놨룦쿔쪾ꎬ릫쮾춨맽헻쳥닺훃뮻뎹뗗냚췑뎤웚춣튵컞뺭펪뗄뿷쯰뻖쏦ꎬ뷸죫쟥뷠폃욷짺닺뫍뺭펪쇬폲ꆣ2001쓪뺻샻죳1775췲풪ꎬ쎿막쫕틦풪ꎬ쎿막뺻닺풪ꆣ쓪쒩펦쫕헋뿮뫍듦믵럖뇰듓2001쓪6퓂1죕뗄9454췲뫍2489췲쿂붵캪2001쓪12퓂31죕뗄8368췲뫍1394췲ꆣ뿉볻ꎬ룃훃죫닺뗄펯샻쓜솦뫍닆컱뿘훆쓜솦뚼뷏잿ꆣ 2002쓪쫇릫쮾닺훃뮻믖뢴짏쫐뫳헽뎣짺닺뺭펪뗄뗚튻룶쓪뛈ꎬ릫쮾퇏룱내헕짏쫐릫쮾맦랶퓋ퟷ뗄튪쟳ꎬ볓듳솦뛈붵뗍짺닺돉놾ꆢ톹쯵펦쫕헋뿮ꎬ쪹2002쓪뛈릫쮾뗄웚볤럑폃폫짏쓪춬웚쿠뇈폐쯹쿂붵ꆣ춬쪱ꎬ릫쮾춨맽붵뗍풭닄쇏닉릺돉놾ꆢ볓듳벼쫵룄룯솦뛈ꆢ붵뗍훆퓬돉놾ꆢ볓잿쓚늿맜샭ꆢ복짙맜샭럑폃틔벰뗷헻닺욷욷훖뷡릹뗈랽램쪹샻죳뗃떽뷏듳돌뛈뗄쳡룟ꎬ듓2001쓪뗄췲풪쳡룟떽2002쓪뗄췲풪ꎬ퓶뎤싊룟듯56%ꎬ릫쮾뗄짺닺뺭펪뒦폚솼뫃뗄랢햹첬쫆ꆣ 듓뇭뿉틔뾴돶ꎬ냗쎨뷼솽쓪뗄펯샻ힴ뿶뇈뷏컈뚨ꎬ훷펪튵컱춻돶ꎬ죕뮯닺욷쫕죫햼튵컱쫕죫뗄뇈샽풼캪99%ꆣ훁2003쓪6퓂30죕ꎬ냗쎨짏냫쓪짺닺ꆢ쿺쫛폫2002쓪춬웚쿠뇈뻹돊솽캻쫽퓶뎤ꎬ뿢듦뫍닆컱럑폃폐쯹쿂붵ꎬ짺닺뫍쿺쫛돊쿖솼뫃뗄퓶뎤첬쫆ꆣ듓냗쎨퓚죕폃뮯릤폃욷탐튵뛠쓪쒥쯹믽샛뗄랢햹믹뒡뾴ꎬ냗쎨욾뷨췪짆뗄짺닺ꆢ쿺쫛ꆢ뿆퇐쳥쾵ꎬ붫뷸죫튻룶뷏뫃뗄믆뷰랢햹쪱웚ꎬ늢늻뛏쳡짽솼뫃 25
뗄뺭펪튵벨ꆣ 뇭 냗쎨막럝뗄훷튪닆컱쫽뻝ꎨ떥캻ꎺ췲풪ꎩ 2000 2001 2002 2003 2004 ퟜ닺 막뚫좨틦 샻죳ퟜ뛮 뺻샻죳 뺻쿖뷰쇷 쇏살풴ꎺ (짏몣냗쎨막럝폐쿞릫쮾) 춨맽짏컄뛔냗쎨벯췅2000쓪훁2004쓪훷튪닆컱쫽뻝뗄럖컶ꎬ뿉틔죏캪듓ퟜ쳥짏살쮵헢듎늢릺쫇돉릦뗄ꎬ냗쎨벯췅늢릺PT쮫승뗄훷튪뚯믺뚼틑쪵쿖ꆣ쫗쿈ꎬ듋듎늢릺뗄훷튪뚯믺ꆪꆪ뿧탐튵랢햹틑뺭쮳샻쪵쿖ꆣ웤듎ꎬ쇭튻뚯믺ꆪꆪ믱좡폅훊뿇풴ꎬ늢훘ퟩ짏쫐튲틑췪좫쪵쿖ꆣ퓙듎ꎬ냗쎨벯췅쓢춨맽볦늢뿷쯰웳튵믱좡폅믝헾닟뗄뚯믺춬퇹뗃떽튻뚨돌뛈뗄쪵쿖ꆣ평듋뇭쏷폃VaR쒣탍ퟶ돶뗄럧쿕풤닢쫇럻뫏쪵볊쟩뿶뗄ꆣ 늢릺맀볛럧쿕뗄럀랶듫쪩 볓잿탅쾢엻슶뫍닆컱놨뇭춸쏷뛈 럀랶늢릺맀볛럧쿕ꎬ늻뷶튪뛔쒿뇪웳튵닆컱놨룦뗄뻖쿞탔폐돤럖죏쪶ꎬ룼튪붡좫쿠맘램훆ꎬ볓잿웳튵늢릺훐뗄탅쾢엻슶ꎬ쳡룟늢릺닙ퟷ뗄춸쏷뛈ꎬ잿뮯쫐뎡뛔늢릺닙ퟷ릫헽탔뗄볠뚽ꎬ쪹웳튵늢릺뗄퓋ퟷ룼볓맦랶ꆣ 컒맺헾뢮뿉틔뾼싇샻폃맺볒뺭볃탅쾢훐탄붨솢붡좫늢릺뗄폃탅쾢쾵춳뫍탅쾢쟩놨췸싧ꎬ돉솢좫맺탔뗄늢릺톯믺릹ꎬ캪컒맺웳튵뷸탐늢릺쳡릩탅쾢살풴뫍횸떼ꆣ헢퇹뿉틔잿뮯탅쾢쟩놨쫕벯릤ퟷꎬ늻뷶붵뗍쇋웳튵떥뛀쫕벯탅쾢뗄돉놾ꎬ뛸쟒탎돉쇋룟킧ꆢ쇩쏴뗄탅쾢쟩놨쾵춳ꎬ뿉틔듳럹뛈쳡룟컒맺웳튵쪵탐늢릺뗄펦뇤쓜솦뫍뻶닟쓜솦ꆣ평듋뿉틔뫏샭풤웚쒿뇪웳튵뗄닺볛횵뫍캴살펯샻쓜솦ꎬힼ좷움맀쒿뇪웳튵뗄볛 26
횵ꎬ듓뛸룼폐킧뗘붵뗍쒿뇪웳튵볛횵움맀쪧헦듸살뗄럧쿕ꆣ 뷸탐맦랶뗄뺡횰뗷닩틔룄짆탅쾢훊솿 쫗쿈ꎬ튪뛔쒿뇪웳튵훘듳탅쾢뷸탐뷸튻늽닩횤뫍좷죏ꎬ늢삩듳뗷닩좡횤뗄랶캧뫍뛔쿳ꆣ늢릺웳튵춨맽룷훖춾뺶뫍쟾뗀헒떽뻟쳥뗄쒿뇪웳튵뫳ꎬ튪쯑벯폐맘쒿뇪웳튵룷랽쏦뗄탅쾢ꎨ죧쒿뇪웳튵뗄쿖폐맦쒣ꆢ닺튵뮷뺳ꆢ닆컱ힴ뿶ꆢ펯샻쓜솦ꆢ랢햹잰뺰ꆢ뿍맛뮷뺳ꆢ뿉죚뫏탔뗈ꎩꎬ튪돤럖샻폃릫쮾쓚늿뫍췢늿뗄탅쾢ꎬ냼삨뛔닆컱놨룦뗄뢽힢벰훘튪킭틩뗄맘힢ꆣ튻냣살쮵ꎬ쫕벯뗄탅쾢풽돤럖ꆢ쿪쾸ꎬ쯤좻탅쾢쫕벯뗄럑폃풽 룟ꎬ떫탅쾢늻뛔돆뗄럧쿕풽킡ꎬ늢릺돉릦뗄뿉쓜탔튲풽듳ꆣ좻뫳퓙뛔쯹쫕벯떽뗄탅쾢뷸탐좫쏦ꆢ뻟쳥ꆢ쾸훂뗄럖컶ꎬ듓뛸뛔쒿뇪웳튵캴살쫕틦쓜솦ퟶ돶뫏샭풤웚ꎬ퓚듋믹뒡짏ퟶ돶뗄쒿뇪웳튵맀볛뷏뷓뷼폚쒿뇪웳튵뗄헦쪵볛횵ꎬ폐샻폚붵뗍맀볛럧쿕ꆣ쇭췢ꎬ튪잩뚩쿠맘램싉킭틩ꎬ뛔늢릺맽돌훐뿉쓜돶쿖뗄캴뺡쫂틋쏷좷쿠맘램싉퓰죎ꎬ뛔틲볈췹쫂쪵뛸ힷ볓늢릺돉놾튪잩뚩늹뎥킭틩ꎬ죧쫊떱쿂뗷늢릺볛룱뗈ꆣ ퟛ뫏닉폃뛠훖볛횵움맀랽램틔붵뗍욫닮 닉폃늻춬뗄볛횵움맀랽램뛔춬튻쒿뇪웳튵뷸탐움맀ꎬ뿉쓜뗃떽늻춬뗄늢릺볛룱ꆣ평폚늢릺훐쮫랽뗄뚯믺뫍뾼싇뗄틲쯘늻춬ꎬ늢릺웳튵쫕릺쒿뇪웳튵쯹횧뢶뗄볛뿮튲늻춬ꆣ늢릺웳튵뿉룹뻝늢릺뚯믺뫍헆컕탅쾢뗄돤럖탔뗈틲쯘살뻶뚨닉폃뫏쫊뗄움맀랽램ꎬ튲뿉틔ퟛ뫏퓋폃뛠훖맀볛쒣탍ꎬ죧붫펦폃쟥쯣볛횵램뗃떽뗄쒿뇪웳튵볛횵ퟷ캪늢릺볛룱쿂쿞ꎬ붫펦폃쿖뷰쇷쳹쿖램좷뚨뗄쒿뇪웳튵볛횵ퟷ캪늢릺볛룱짏쿞ꎬ좻뫳퓙룹뻝쮫랽쳖볛뮹볛뗄쓜솦퓚룃쟸볤쓚좷뚨킭짌볛룱ퟷ캪ퟮ훕늢릺볛룱ꆣퟜ횮ꎬ쒿뇪웳튵볛횵움맀탨튪뫜뛠늻춬닣듎뗄쮼슷뫍랽램ꎬ뷶죃튻훖랽램훷퓗뚨볛쫇듭컳뗄ꆣ쎿듎붻틗쪱뚼쪹폃쯹폐뚨볛쒣탍튲늻쏷훇ꎬ펦떱룹뻝늢릺쳘뗣톡퓱뷏캪잡떱뗄맀볛쒣탍ꆣ 볓뿬엠퇸닺움맀믺릹뫍튵죋닅 컒맺헾뢮펦룃믽벫럶돖쓇킩틑뺭돵뻟춶틸탐돻탎뗄맦쒣뷏듳뗄횤좯릫쮾뫍탅 27
췐춶릫쮾ꎬ맄샸쯼쏇춨맽맦랶ꆢ훘ퟩ뫍헻뫏뷸탐훆뛈뒴탂뫍릦쓜뢴캻ꎬ뺡뿬ힳ듳뷰맦쒣ꆢ퓶잿뺭펪쪵솦뫍퓋ퟷ쓜솦ꎬ훰늽랢햹돉캪헦헽뗄춶틸탐ꎬ캪컒맺웳튵늢릺쳡릩룟훊솿뗄럾컱ꆣ춬쪱튪룹뻝탨튪ퟩ붨탂뗄춶틸탐ꎬ냼삨짳짷뗘짨솢훐췢뫏뗄춶틸탐ꆢ틽뷸맺췢훸쏻뗄춶틸탐뗈ꆣ 듋췢ꎬ닺좨붻틗ꆢ죚떣놣ꆢ믡볆짳볆ꆢ램싉톯뗈훐뷩럾컱ퟩ횯뗄엠폽뫍맦랶ꎬ튲쫇놾쫐뎡짏닺훘ퟩ쮳샻뾪햹뗄뇘튪쳵볾ꆣ헢킩럾컱믺릹뇘탫볓뿬틽뷸맺췢춶헟ꎬ쳘뇰쫇쿭폐뷏뫃탅폾뗄듳탍뿧맺훐뷩럾컱릫쮾ꎬ뇈죧쒦룹쮹첹샻ꆢ룟쪢ꆢ쏀쇖뗈춶틸탐틔벰뇏십췾ꆢ웕뮪ꆢ낲폀뗈믡볆쪦쫂컱쯹ꆣ춬쪱뛔컒맺뗄훐뷩믺릹탎돉튻훖뺺헹뫍듌벤ꎬ웰떽솼뫃뗄쪾랶ퟷ폃ꎬ볓쯙컒맺훐뷩럾컱믺릹뗄톸쯙랢햹ꆣ 컒맺웳튵뇘탫듓죋솦풴웰ꎬ볓듳죋닅춶솦뛈ꎬ붨솢죋닅뒢놸ꆣ컒맺듳탍웳튵펦붨솢웰ퟔ벺뗄엠통믹뗘ꎬ튻랽쏦평늢릺뺭퇩럡뢻뗄룟닣맜샭헟뛔놾릫쮾늢릺죋닅뷸탐럖닣럖벶뗄엠통ꎬ쪹죋닅뗄엠통뫍뾪랢뻟폐쾵춳탔뫍볆뮮탔ꎻ쇭튻랽쏦뿉틔폐ퟩ횯폐쒿뗄뗘울쟫룟킣볒톧헟뾪냬엠통냠ꎬ믲퇻쟫맺볊춶볒ꆢ맺볊듳릫쮾뗄잰죎룟닣맜샭헟뾪냬뎡붲ퟹꎬ쯻쏇퓚늢릺랽쏦뗄뺭퇩횵뗃컒맺웳튵톧쾰뫍뷨본ꆣ 돤럖뾼싇펰쿬맀볛럧쿕뗄웤쯻틲쯘 죚쓜솦ꆣ헢뎣뎣좡뻶폚솽룶틲쯘ꎺ늢릺웳튵뗄탅폾뫍뷰죚믺릹뛔늢릺돉릦뗄탅탄ꆣ웤듳킡횱뷓펰쿬늢릺붻틗쓜럱돉릦ꎬ좱랦죚쓜솦뗄웳튵퓚듳뛠쫽쟩뿶쿂쓑틔쪵쿖늢릺ꆣ 닆컱뷡릹ꆣ늻춬뗄닆컱뷡릹틢캶ퟅ늻춬뗄럧쿕ꆢ횧뢶웚뫍쇷뚯탔ꆣ퓚웤쯻쳵볾늻뇤뗄쟩뿶쿂ꎬ럧쿕풽듳ꆢ횧뢶웚풽뎤ꆢ쇷뚯탔풽닮ꎬ늢릺볛룱풽룟ꆣ 쮰쫕쟩뿶ꆣ늢릺붻틗훐뗄쮰쫕틲쯘뛔늢릺볛룱폐횱뷓뗄펰쿬ꎬ맘볼쫇헒떽튻룶쮫펮뗄뷡릹ꎬ쪹늢릺웳튵뫍쒿뇪웳튵뗄릲춬쮰쫕뢺떣듯떽ퟮ뗍쮮욽ꆣ 돽듋횮췢ꎬ쒿뇪웳튵뗄죋풱낲훃돉놾ꆢ늢릺횧뢶랽쪽ꆢ늢릺훐뗄뺺헹ힴ뿶ꆢ쒿뇪웳튵뗄뗖폹쟩탷ꆢ늢릺쒿뇪웳튵풸췻뗄잿쇒돌뛈ꆢ늢릺쪱믺뗈뚼믡펰쿬늢릺맀볛럧쿕ꆣ 28
5 뷡쫸폯 뷡싛 놾컄솢ퟣ폚컒맺웳튵늢릺뗄쿖쪵뮷뺳ꎬ쾵춳럖컶쇋컒맺웳튵늢릺훐맀볛럧쿕뗄돉틲ꎬ퓋폃VaR쒣탍뛔쪵볊늢릺낸샽훐뗄맀볛럧쿕뷸탐쇋움볛ꎬ늢쳡돶쇋뻟폐헫뛔탔뗄럀랶듫쪩ꆣ쿠맘뷡싛냼삨ꎺ 뗚튻ꎬ퓚틔늻좷뚨탔캪믹놾쳘헷뗄횪쪶뺭볃놳뺰쿂ꎬ뛔웳튵늢릺훐쒿뇪웳튵뷸탐볛횵움맀쪱ꎬ펦룃뎢쫔톡폃쪵컯웚좨뚨볛쒣탍살움맀쒿뇪웳튵뗄믺믡볛횵ꆣ헢퇹닅쓜뗃떽뇈뷏ힼ좷뗄쒿뇪웳튵볛횵ꎬ캪늢릺믮뚯쳡릩뿆톧폐킧뗄뻶닟틀뻝ꆣ 뗚뛾ꎬ맀볛럧쿕쫇웳튵늢릺돉릦폫럱뗄맘볼틲쯘ꎬ쯼평뛠훖틲쯘릲춬퓬돉ꆣ닆컱놨뇭뻖쿞탔뫍헦쪵탔ꆢ늢릺쮫랽탅쾢늻뛔돆ꆢ볛횵움맀랽램늻췪짆ꆢ훐뷩믺릹랢햹훍뫳쫇펰쿬컒맺웳튵늢릺맀볛럧쿕뗄훷튪틲쯘ꆣ 뗚죽ꎬ캪쳡룟컒맺웳튵늢릺뗄돉릦싊ꎬ뇘탫뚨솿뛈솿웤맀볛럧쿕틔붵뗍웤뿉쓜퓬돉뗄쯰쪧ꆣ떫럧쿕ퟷ캪뚨탔룅쓮컞램뺫좷뛈솿ꎬ놾컄횸돶쇋솽훖뒫춳럧쿕움볛쒣탍ꎨ쒣뫽ퟛ뫏움볛쒣탍ꆢ죋릤짱뺭췸싧쒣탍ꎩ뗄뇗늡ꎬ틽죫VaR쒣탍살움볛컒맺웳튵늢릺맀볛럧쿕ꆣ 뗚쯄ꎬ톡좡쇋튻룶쪵볊낸샽뛔쪵컯웚좨쒣탍뫍VaR쒣탍뗄쫊폃탔볓틔싛횤ꎬ늢쳡돶쇋뻟폐헫뛔탔뗄럀랶뫍뿘훆늢릺맀볛럧쿕뗄붨틩듫쪩ꆣ훷튪냼삨볓잿탅쾢엻슶뫍닆컱놨뇭춸쏷뛈ꎬ뷸탐맦랶뗄뺡횰뗷닩틔룄짆탅쾢훊솿ꎬퟛ뫏닉폃뛠훖볛횵움맀랽램살붵뗍욫닮ꎬ볓뿬엠퇸늢릺훐뷩믺릹뫍튵죋닅ꎬ틔벰돤럖뾼싇펰쿬늢릺맀볛럧쿕뗄웤쯻틲쯘ꆣ 햹췻 놾컄퓚잰죋퇐뺿뗄믹뒡짏ꎬퟜ뷡늿럖잰죋퇐뺿뗄돉맻ꎬ쳡돶쇋튻킩ퟔ벺뗄맛뗣ꆣ떫컄훐듦퓚뗄좱쿝뮹탨튪뷸튻늽돤쪵뫍췪짆ꆣ 늢릺ퟷ캪튻훖뺭펪믮뚯ꎬ웤퓋ퟷ맽돌짦벰떽훚뛠럧쿕틲쯘ꎬ죧헾훎럧쿕ꆢ램싉 29
럧쿕ꆢ뮷뺳럧쿕ꆢ쫐뎡럧쿕ꆢ훆뛈럧쿕ꆢ죚럧쿕ꆢ랴늢릺럧쿕ꆢ컄뮯럧쿕ꆢ헻뫏럧쿕뗈ꆣ놾컄뷶뛔웤훐뗄맀볛럧쿕뷸탐쇋첽쳖ꎬ웤쯻훖샠뗄럧쿕뛔맀볛럧쿕뗄펰쿬튲쫇튻룶탨튪짮죫퇐뺿뗄뿎쳢ꆣ 폃쪵컯웚좨랽램살움맀쒿뇪웳튵뗄볛횵쫇룶탂뿎쳢ꎬ놾컄뗄퇐뺿횻쫇뛔웳튵늢릺볛횵움맀쇬폲뗄돵늽첽쯷ꎬ맘폚쪵컯웚좨쳗폃B-S뚨볛릫쪽뗄뫏샭탔뫍헢훖펦폃뗄췪쏀탔죔좻폐듽뷸튻늽뾼횤ꆣ퓚퓋폃뷰죚웚좨랽램좷뚨럇뷰죚쇬폲믺믡볛횵뗄퇐뺿랽쏦ꎬ놾컄쯤좻퓋폃낸샽퇐뺿횤쏷쇋듋볛횵움맀랽램뗄뿉탐탔ꎬ떫놾컄뛔뛠훖쪵컯웚좨릲듦쟩탎쿂뗄뢴뫏쪵컯웚좨뚨볛컊쳢ꎬ틔벰듦퓚뛠룶늢릺웳튵쟩뿶쿂룷늢릺웳튵횮볤뗄늩?탐캪뛔웚좨볛룱뗄펰쿬뗈컊쳢뚼폐듽뷸튻늽퇐뺿ꆣ 퓚웳튵늢릺맀볛럧쿕맜샭짏ꎬ뷼벸쓪뾪랢돶살뗄헻쳥럧쿕맜샭(TRM)ꆢ좫쏦럧쿕맜샭 (ERM)튲뿉틔뷨본틽죫떽웳튵늢릺맀볛럧쿕맜샭뗄퇐뺿훐ꆣ쇭췢ꎬ놾컄쪹폃뗄VaR럧쿕뛈솿랽램퓚퇐뺿맽돌훐놩슶돶훮뛠좱쿝ꎬ뷱뫳뿉틔뾼싇닉폃쳵볾VaR쒣탍ꎨConditional Value at RiskꎬCVaRꎩꆢ횸쫽볓좨뮬뚯욽뻹쒣탍(EWMA)ꆢ톹솦쫔퇩램(Stress Testing)ꆢ벫횵샭싛(EVT)뗈랽램뷸탐쏖늹ꆣ듋췢ꎬ룃랽램퓚쿖쪵훐뺿뺹죧뫎뻟쳥쪵쪩ꎬ퓚쪵쪩맽돌훐뿉쓜쏦쇙쓄킩뻟쳥삧쓑ꎬ틔벰죧뫎뷢뻶헢킩삧쓑뗈컊쳢룼탨튪뷸튻늽퇐뺿ꆣ 놾컄퇐뺿뛔쿳캪컒맺웳튵늢릺훐뗄맀볛럧쿕컊쳢ꎬ뛸폫웳튵늢릺맀볛쿠맘뗄쫽뻝훐ꎬ폐뫜뛠쫴폚웳튵뗄놣쏜탅쾢ꎬ뫜쓑듓릫뾪뗄쟾뗀훐믱뗃ꎬ볓횮놾죋퇐뺿쓜솦뗄쿞훆ꎬ캴쓜퓋폃룼뛠낸샽뛔놾컄뗄퇐뺿돉맻뷸탐볬퇩ꆣ쯦ퟅ컒맺웳튵늢릺퓶뛠틔벰탅쾢엻슶룼볓돤럖뫍붡좫ꎬퟷ헟붫돖탸맘힢컒맺웳튵늢릺맀볛맽돌훐뗄쾸뷚쫽뻝ꎬ솦쟳쓜릻퓚쿖폐퇐뺿믹뒡짏퓋폃룼뛠낸샽럖컶ퟶ뷸튻늽싛횤ꎬ틔쪹뷡싛룼볓뻟폐쮵럾솦ꆣ 30
훂 킻 퓚컒뗄뇏튵싛컄췪돉횮볊ꎬ쫗쿈룐킻컒뗄떼쪦쇵랽돘샏쪦ꆣ듓싛컄뗄톡쳢ꆢ뷡릹낲업떽쓚죝ꎬ쇵샏쪦뚼룸폨컒쾤탄뗄횸떼뫍냯훺ꆣ쇵샏쪦컱쪵뗄ퟷ럧뫍퇏뷷뗄훎톧첬뛈룸컒쇴쿂쇋짮뿌뗄펡쿳ꎬ벤샸컒퓚뷱뫳뗄릤ퟷ뫍톧쾰훐늻뛏럜뷸ꆣ 춬쪱룐킻뺭볃톧풺뗄쳆웫쏹샏쪦ꆢ볲횾뫪샏쪦ꆢ쳯탂쪱샏쪦ꆢ컢뿉샏쪦ꆢ헅ퟚ돉샏쪦ꆢ탬뎤짺샏쪦ꆢ헅컀뚫샏쪦ꆢ췵짙욽샏쪦ꆢ쳯펳뮪샏쪦뗈ꎬ쯻쏇풨늩뗄톧쪶뫍짮뫱뗄뗗퓌쪹컒뗄뺭볃샭싛횪쪶뗃떽뫜듳쳡룟ꎬ쯻쏇룟짐뗄죋룱뫍컞쮽뗄냯훺쪹컒훕짺쫜틦럋잳ꆣ 쳘뇰룐킻컒뗄뢸쒸ꆢ쏃쏃뫍쓐폑ꎬ쯻쏇퓚컒톧쾰웚볤튻횱횧돖컒ꆢ맄샸컒ꎬ닅쪹컒믱뗃쇋햽쪤쯹폐삧쓑뗄폂웸ꎬ쮳샻뗘췪돉쇋헢욪싛컄ꆣ 뮹튪룐킻컒뗄쫒폑뫍엳폑쏇ꎬ솽쓪살쯽쏇퓚톧쾰훐룸쇋컒컞쮽뗄냯훺뫍짆틢뗄엺움ꎬ퓚짺믮훐룸쇋컒헦횿뗄폑틪뫍훔탄뗄맘뮳ꆣ 헽쫇퓚틔짏룷캻샏쪦뫍춬톧뗄냯훺쿂ꎬ퓚쟗쟩뫍폑쟩뗄엣냩쿂ꎬ컒닅쓜릻뿋럾삧쓑쮳샻췪돉뇏튵싛컄ꎬ퓚듋튻늢뇭쪾헦돏뗄뺴틢뫍평훔뗄룐킻ꆣ 탬? 2006쓪4퓂3죕 31
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我国企业并购估价风险的评价作者：徐蓓学位授予单位：华中科技大学 本文读者也读过(4条)1. 黄超 企业并购中目标企业估价问题的研究[学位论文]20072. 王岭山 我国企业并购估价问题研究[学位论文]20053. 崔媛 企业并购中目标企业的估价研究[学位论文]20054. 张爽 企业并购价值评估理论与方法研究[学位论文]2006 本文链接：
