知识产权证券化定价及最优风险概率评估--基于改进的三叉树模型  

Intellectual Property Securitization Pricing and Optimal Risk Probability Assessment——Based on Improved Trigeminal Tree Model

作　　者：周衍平[1] 徐华杰 陈会英[1] Zhou Yanping;Xu Huajie;Chen Huiying(School of Economics and Management,Shandong University of Science and Technology,Qingdao 266590,Shandong,China)

机构地区：[1]山东科技大学经济管理学院,山东青岛266590

出　　处：《金融发展研究》2022年第5期71-79,共9页Journal Of Financial Development Research

基　　金：山东省自然科学基金项目“高质量发展视域下知识产权密集型产业演化机理、效应测度与政策设计”(ZR2021MG018)。

摘　　要：知识产权价值受到技术、经济、消费、法律、政策和人文等因素的影响。从风险视角出发,通过改进三叉树模型,对知识产权价值进行评估并寻找最优风险概率可以为知识产权证券化提供定价和风险控制借鉴。本文首先分析了知识产权的实物期权特征,继而在三叉树模型中引入风险因素及其发生概率,计算标的资产价格上涨、不变或下降的概率,得到考虑风险因素的三叉树模型,最后结合案例,分别运用收益法及改进的三叉树模型进行计算分析。研究发现,传统的收益法会低估知识产权价值,所构建的基于风险因素的三叉树模型考虑因素更为全面、评估结果更加准确。知识产权期权价值因风险概率水平的不同而不同,所构建的考虑风险因素的三叉树模型可以更加准确地衡量知识产权价值并确定知识产权的最优风险概率。The value of intellectual property is affected by technology,economy,consumption,law,policy and humanities.From the perspective of risk,by improving the trigeminal tree model to evaluate the value of intellectual property and find the optimal risk probability,it can provide reference for pricing and risk control of intellectual property securitization.Firstly,the real option characteristics of intellectual property are analyzed,and then the risk factors and their occurrence probability are introduced into the trigeminal tree model to calculate the probability of rising,unchanged or falling of the underlying asset price,and a trigeminal tree model considering risk factors is obtained.Finally,combined with the cases,the income method and the improved trigeminal tree model are used for calculation and analysis respectively.It is found that the traditional income method will underestimate the value of intellectual property rights,and the trigeminal tree model considering risk factors has more comprehensive considerations and more accurate evaluation results.The value of intellectual property option varies with the level of risk probability.The trigeminal tree model considering risk factors can more accurately measure the value of intellectual property and determine the optimal risk probability of intellectual property.

关 键 词：知识产权证券化 价值评估 风险概率 三叉树模型 

分 类 号：F832.5[经济管理—金融学]