Research on the Risk Assessment of Applying Asset Trust Finance for Construction Industry

• Main Authors: Shan-Chen Cheng, 鄭鐥楨
• Other Authors: 曾惠斌
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/52827102191556450851

碩士 === 國立臺灣大學 === 土木工程學研究所 === 94 === ”Real Estate Securitization Laws” had been legislated in July 23, 2003. The real estate securitization system in Taiwan is divided into two types - Real Estate Investment Trust（REIT）and Real Estate Asset Trust（REAT）. Its legislation purpose isn’t only raising our nation’s economy but hoping to promote real estate development, the quality of environment, real estate market and to protect the people who invested effectively. Real estate securitization provides an alternative investment approach for population investing in real estate. According to those reason, private businesses and government all expect to raise construction budget through this legislation. However, the most important thing construction industry cares about is the effect of investment risk to its own return after using securities finance. Thus, this research would provide a quantitative approach for construction industry to measure the investment risk when using securities finance. Recently, a new index,” Value at Risk（VaR）”, is always used to measure the unpredictable risk of a project. This research combines the VaR concept with the Monte Carlo simulation method to reflect the NPVα probability distribution when a construction investment project applying asset trust finance. Furthermore, considering the relationship between risk factors, this research simulates the return of investment project and evaluates the project’s VaR during the period of operation within different finance approach and risk variables. The purpose of this research is to provide an evaluation rule of project investment risk for construction industry and to analyze the VaR with different finance method. Besides, this research also studies the effect on investment project return when using traditional bank finance and securitization finance with each risk factor.