bte365娱乐城学术系列(第33期)

稿件来源： | 作者：教务部 | 发布日期：2017-11-23

报告人：Sotiris Tsolacos教授

题目：Capital Flow Analysis of Non-Listed Real Estate Vehicles-The impact of cash flows on performance

时间：2017年11月22日（周三，15:00-17:00）

地点：珠海校区行政楼bte365娱乐城915会议室

主持人: 吴意老师

报告简介：

At its core the aim of this research is to accurately measure the risk in real estate funds and provide a cash-flow model-based Value-at-Risk calculation. During this period black swan events can occur. What is the impact on returns and risk to investors in such property funds?

In this research we extend traditional cash flow based risk measures such as distributions as a percentage of capital invested (DPI) and distributions and un-realised assets as a percentage of capital calls. We study the behaviour of net cash flows for funds and construct empirical J-curves. We further determine capital exposure to adverse market developments and estimate Value-at-Risk (VaR), a recognized methodology for quantifying market risk. This study makes use of the data on closed end funds compiled by the Association of Unlisted Property Funds in Europe (INREV)and in Asia (ANREV). The VaR calculation based on cash flow data is performed through the estimation of net present values (NPVs).The present analysis of risk is in accordance with the required regulatory frameworks for illiquid asset classes and it is particularly applicable to funds investing in volatile markets.

由于基金经理和投资者的现金流期望函数不一致，并且非预测性事件（“黑天鹅”事件）造成的市场连锁负面反应时而发生，因此本文基于欧洲封闭式基金和亚洲封闭式基金交易高频数据，使用风险价值法（Value-at-Risk）的现金流模型，测量房地产投资基金风险以及回报率。本文在原有传统模型的基础上，基于房地产非流动性特征，对现金流分布函数加入资本投入比（DPI）以及未投资资产资本比例。通过基金净现金流的J型曲线估计期望函数以及期望分布，进而再估计基金房地产投资在各时间段内的风险值及净现值，最后预测得到非流动性房地产投资基金的回报率。

报告人简介：
1995年博士毕业于英国雷丁大学，现任伦敦城市大学卡斯商学院教授，曾任英国雷丁大学教授，欧洲房地产协会主席，著名跨国房地产公司Property & Portfolio Research副总裁、仲量联行研究部主管，主要研究领域为房地产金融，特别擅长房地产预测计量模型以及在房地产投资领域具有丰富的实战经验。同时在SSCI期刊发表论文四十多篇，出版房地产金融计量著作，以及在国际房地产业界，如IPE Real Estate, Property Investor Europe， IREI Investor等杂志发表了多篇有影响力的房地产投资文章，也担任Journal of Property Research, Journal of Property Investment and Finance ，Journal of European Real Estate Research的编辑.。同时作为多个私募基金的首席顾问专家，如Shield Capital Management等，对基金管理运作以及房地产投资具有丰富的实战经验。