基于PPP模式的资产证券化设计研究

发布时间：2018-01-22 22:02

本文关键词： PPP 资产证券化蒙特卡洛模拟增信设计　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：自2013年开始,国家多个政府部门一直积极推进PPP项目落地,但由于社会资本无法在短期内收回投资,导致社会资本参与积极性不高。2016年12月12日,国家发展改革委、中国证监会正式推出PPP项目资产证券化,破解PPP项目融资难和退出渠道不通畅两大难题。本文以PPP资产证券化定价及增信设计为研究主线,运用金融学、统计学等相关理论和方法,以"两评一案"为切入点,运用蒙特卡洛模拟(MC)定价模型,定量计算PPP资产证券化产品价格。基于MC定价,通过不同方式的资产证券化增信设计的研究,进一步解决不同盈利能力PPP项目的融资困境。本研究为下阶段PPP资产证券化的大规模推出做出较为深入的探索,具有较大的潜在应用价值,主要研究结论:第一、PPP项目现金流由于对路径具有很强的依赖性,蒙特卡洛模拟定价方法能够通过大量的随机路径模拟,较为真实准确的模拟出PPP资产证券化项目未来二三十年的收益情况,这为PPP资产证券化业务中的定价确定方面提供较大的参考价值。第二、虽然PPP项目具有政府背景,但是长达二三十年的周期使得其收益情况面临各种风险,因此PPP资产证券化产品要顺利发行,其中的关键之处就在于资产证券化参与各方如何对其进行合理的增信设计。第三、首单PPP资产证券化新水源污水处理项目能为下一阶段PPP资产证券化开展起到较大的参考价值,其合同设计、交易结构、定价方法和增信设计的选择等实践经验能够指导后续PPP资产证券化的开展。在前文研究基础上,为推广PPP资产证券化的应用,在保证投资者自身利益和维护资本市场健康有序发展的同时,提出三条政策建议:出台PPP相关法律法规,完善PPP项目信息披露,充分利用PPP资产交易中心平台。
[Abstract]:Since 2013, a number of government departments have been actively promoting the landing of PPP projects, but because of social capital in the short term can not recover investment. In December 12th 2016, the National Development and Reform Commission, China Securities Regulatory Commission officially launched the PPP project asset securitization. To solve the PPP project financing and exit channels are not smooth two major problems. This paper takes PPP asset securitization pricing and credit enhancement design as the main line of research, using finance, statistics and other related theories and methods. Taking "two comments and one case" as the starting point, the pricing model of Monte Carlo simulation is used to quantitatively calculate the price of PPP asset securitization products, which is based on MC pricing. Through different ways of asset securitization credit enhancement design research. Further solve the financing dilemma of PPP projects with different profitability. This study makes a more in-depth exploration for the large-scale launch of PPP asset securitization in the next stage, and has great potential application value. Main conclusions: first, due to the PPP project cash flow has a strong dependence on the path, Monte Carlo simulation pricing method can be through a large number of stochastic path simulation. More true and accurate simulation of the PPP asset securitization project in the next 20 to 30 years of income, which for the PPP asset securitization business pricing determination to provide a greater reference value. Second. Although the PPP project has a government background, but the cycle of 20 to 30 years makes its income situation face a variety of risks, so the PPP asset securitization products should be issued smoothly. The key lies in how the parties involved in asset securitization design a reasonable credit enhancement. Third. The first single PPP asset securitization new source sewage treatment project can play a greater reference value for the next stage of PPP asset securitization, its contract design, transaction structure. The selection of pricing method and credit enhancement design can guide the development of PPP asset securitization. On the basis of the previous study, to promote the application of PPP asset securitization. In order to ensure the interests of investors and maintain the healthy and orderly development of the capital market, three policy recommendations are put forward: the introduction of relevant laws and regulations of PPP, the improvement of information disclosure of PPP projects. Make full use of PPP asset trading center platform.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F283

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