基于实物期权的PPP项目政府最低产品需求量担保与收益限制水平决策研究

发布时间：2018-04-28 13:38

本文选题：PPP项目 + 政府最低担保水平　；参考：《西南交通大学》2013年硕士论文

【摘要】：公私合作(Public-Private-Partnership, PPP)即公私合营的投资合作模式,即政府和私营投资方在某一项目进行合作(一般是基础设施项目)。由于存在多方利益体的参与,那么如何对利益进行合理的划分是至关重要的。而政府最低担保水平和限制水平是PPP项目中利益划分最重要的参数。在PPP项目中,因为其未来购买量不确定性的影响,其收益的现金流是有风险的。因此,除非政府提供相应的担保措施,例如政府担保最低购买量,否则私人投资者是不愿意投资这样高风险的项目的。一般来说,利用NPV方法求解PPP项目价值具有局限性,很难准确估计出项目的真实价值,并且政府的担保和限制水平的确定通常也是靠决策者的经验来确定的,并没有一个行之有效的标准。上述原因会导致政府的担保和限制水平具有比较强烈的主观性,这对于风险的合理分配是不利的,所以建立政府最低担保水平模型和收益限制上限模型,是有必要的。本文主要做了以下研究：首先,系统总结现阶段关于政府最低担保水平和收益上限水平的国内外的研究成果,分析PPP项目政府最低担保水平及限制水平的影响因子。识别出PPP项目中存在的各类风险和与之对应的实物期权种类。在此基础上,建立在实物期权基础上的政府最低担保水平模型及收益上限水平模型。其次,在结合案例的基础上,通过构建了与案例中所存在的实物期权种类相对应的政府最低担保水平模型和收益上限水平模型,并指出传统NPV法在估计项目价值上的不足,并说明实物期权方法估计项目价值上的优越性。最后,根据案例中所给出的数据,利用蒙特卡洛模拟解算出政府最低担保水平和收益上限水平。将实物期权运用到PPP项目政府最低担保水平及限制水平的确定,此类研究在国内外都比较少,本文通过识别出PPP项目中存在的各类风险和与之对应的实物期权种类,建立在实物期权基础上的PPP项目最低担保及限制水平决策模型,希望通过本文的研究,能为PPP基础设施行业的政府最低担保水平和收益上限水平决策提供相关理论依据。
[Abstract]:Public-Private-Partnership (PPP) is the investment cooperation mode of public-private partnership, in which the government and private investors cooperate in a certain project (usually infrastructure project). Because of the participation of multi-stakeholders, it is very important to divide the interests reasonably. The minimum guarantee level and limit level of government is the most important parameter of interest division in PPP project. In a PPP project, the cash flow of its earnings is risky because of the uncertainty of its future purchase volume. So private investors are reluctant to invest in such risky projects unless the government provides guarantees such as guaranteed minimum purchases. Generally speaking, using NPV method to solve the value of PPP project has limitations, it is difficult to accurately estimate the true value of the project, and the level of government guarantee and restriction is usually determined by the experience of the decision maker. There is no effective standard. The above reasons will lead to the strong subjectivity of the guarantee and restriction level of the government, which is disadvantageous to the reasonable distribution of the risk, so it is necessary to establish the model of the minimum guarantee level and the upper limit model of the income restriction of the government. This paper mainly does the following research: Firstly, this paper systematically summarizes the research results of the government minimum guarantee level and the income upper limit level at present, and analyzes the influence factors of the government minimum guarantee level and the limit level of the PPP project. Identify all kinds of risks in PPP projects and the corresponding types of real options. On this basis, the government minimum guarantee level model and the income upper limit level model are established on the basis of real options. Secondly, on the basis of the case, this paper constructs the government minimum guarantee level model and the income upper limit level model corresponding to the real option types in the case, and points out the shortcomings of the traditional NPV method in estimating the value of the project. The superiority of real option method in estimating project value is also explained. Finally, according to the data given in the case, the minimum guarantee level and the income upper limit level are calculated by Monte Carlo simulation. It is rare to apply real option to the determination of minimum guarantee level and limit level of government in PPP project. This paper identifies all kinds of risks and types of real options in PPP project. The decision model of minimum guarantee and limit level of PPP project based on real option is established. It is hoped that the research in this paper can provide relevant theoretical basis for the decision of minimum guarantee level and income ceiling level of government in PPP infrastructure industry.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F284;F832.48;F542

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