基于经验概率分布的私募股权基金投资风险评价  

Investment Risk Evaluation of Private Equity Funds Based on Empirical Probability Distribution

作　　者：叶可 冉靖 陈敏[2,3] YE Ke;RAN Jing;CHEN Min(School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;Academy of Mathematics and Systems Science,Chinese Academy of Sciences.Beijing 100190,China;University of Chinese Academy of Sciences,Beijing 100049,China)

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]中国科学院数学与系统科学研究院,北京100190 [3]中国科学院大学,北京100049

出　　处：《数理统计与管理》2022年第3期541-553,共13页Journal of Applied Statistics and Management

摘　　要：私募股权投资是资本市场中的一种重要的融资手段,具有扶植中小企业、引领市场创新发展的特质,对是实体经济转型升级有重要推动作用。由于委托代理关系与信息不对称原因,私募股权投资的风险往往具有隐蔽性和动态化特征,成为私募股权投资过程中必须加以防范的因素。本文首先根据对过往投资案例的归纳和总结,将私募股权投资风险分类为财务风险和非财务风险两大类,并进一步细化成三级指标,旨在尽可能详尽地刻画和描述风险构成及相互影响,从而客观准确地识别和评估风险。在此基础上,针对对具体投资项目进行统计建模,提出了一种基于风险经验概率分布的投资风险综合评价法。实证研究结果显示该方法能有效刻画投资项目的潜在风险,可以为私募股权基金投资选择和风险防控提供有用的参考。Private equity investment is an important financing method in the capital market.It has the characterist ics of supporting small and mediumn-sized enterprises and leading market innovation and development.It has an important role in promoting the transformation and upgrading of the real economy.Due to the asymmetric principal agent relationship and information asymmetry,the risks of private equity investment often have hidden and dynamic characteristics,which must be prevented in the process of private equity investment.Based on the summary of past investment cases,this article first classifies private equity investment risks into two categories:financial risk and non-financial risk.We further refine it into three-level indicators,aiming to describe the risk composit ion and mutual impact of different risk factors.Thereby we can identify and assess risk objectively and accurately.Based on this three-level risk framework,for statistical modeling of specific investment projects,a comprehensive investment risk evaluation method based on the risk empirical probability distribution is proposed.Empirical research results show that this met hod can effectively characterize the potential risks of investment projects,and can provide a useful reference for private equity fund investment selection and risk prevention and control.

关 键 词：私募股权 投资风险 层次分析 综合评价 经验风险分布 

分 类 号：O212[理学—概率论与数理统计]