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Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга

Author

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  • Петрова Екатерина Александровна

    (НИУ «Высшая школа экономики»)

Abstract

Лизинг зарекомендовал себя как весомое и эффективное направление инвестиционного развития отдельных предприятий и отраслей экономики. Конкуренция на рынке лизинговых услуг побуждает компании расширять линейку лизинговых продуктов и искать альтернативные источники финансирования сделок, одним из которых может выступить секьюритизация. После перехода российской банковской системы на международные стандарты расчета капитала в рамках соглашений Базель II и Базель III в отношении операций по секьюритизации лизинговых активов появятся требования к резервированию капитала. В этой связи при введении новых норм важно проанализировать, каким образом они отразятся на привлекательности секьюритизации для лизингодателей. Настоящее исследование на примере данных о дефолтах секьюритизированного пула активов оперативного лизинга volkswagen доказывает, что методика Базельского комитета по определению требований к капиталу является излишне консервативной в отношении риска остаточной стоимости. Существующие зарубежные исследования на эту тему также последовательно высказывают точку зрения о том, что для лизинговой индустрии характерны достаточно высокие ставки возврата при дефолтах. В статье предложен новый авторский подход к оценке риска остаточной стоимости, модифицирующий методику Базельского соглашения в отношении формирования требований к капиталу при секьюритизации лизинговых активов. Авторская модель протестирована на примере сделки секьюритизации volkswagen. Предложенный подход основан на использовании модели «копула» Гумбеля.

Suggested Citation

  • Петрова Екатерина Александровна, 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 3, pages 127-138.
    • Handle: RePEc:scn:031255:15724926
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    References listed on IDEAS

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