基于实物期权的PPP项目最低收入担保界限研究

doi:10.16381/j.cnki.issn1003-207x.2018.07.005

摘要/Abstract

摘要： PPP项目具有不确定性高的特点，在PPP项目运营期，需求量风险构成了其主要风险之一。根据风险共担原则，公共部门和社会资本方应该共同承担这部分风险。而实践中，公共部门往往通过提供收入担保的形式承担PPP项目的需求量风险，存在过度担保的问题。本文通过建立最低收入担保界限和超额收益分享界限的数学模型，运用实物期权方法，得到政府最低收入担保界限。研究结果可为公共部门设置最低收入担保提供借鉴。

关键词: PPP, 最低收入担保界限, 实物期权

Abstract: PPP(Public-Private Partnership)is adopted throughout the world for delivering public infrastructures. However, the implement has not been without trouble because of the uncertainty of revenue. The insufficiency of revenue results in the failure of many PPP projects, which discourages the private investors. Government compensation becomes indispensable to stimulate private investment and ensures the success in PPP projects.
One of the most common forms of government compensation is the minimum revenue guarantee. Minimum revenue guarantee means the low demand risk is undertaken by government. Many researchers have advocated toll revenue cap so as to balance the risk and benefit. However, the government undertakes the complete low demand risk while shares only part of the over revenue. This leads to inappropriate risk and benefit sharing and over-guarantee occurs a lot in PPP projects. To settle these problems, setting the reasonable minimum revenue guarantee level is extremely significant.
In this paper, a model is established to estimate the minimum revenue guarantee level from the perspective of reasonable risk and benefit sharing. The value of the minimum revenue guarantee should equal to the value that toll revenue cap brings to the government. Binomial Lattice, one of the main methods of Real Option, is used to calculate the value. Because of the uncertainty, the demand varies from year to year. The value of the toll revenue cap option at n year could be estimated by the rise and fall probability of demand, the revenue sharing proportion and the cap. The value at n-1 year is the discounted value of weighted average at t=n year. Similarly, the value at the beginning can be estimated. The value of the minimum revenue guarantee option could be estimated in the same way. The minimum guarantee level should make the value of the two options the same. Then, a numerical example is provided to explain how to estimate minimum revenue guarantee level.
The studying results show that the minimum revenue guarantee level should not be fixed during the operation period. To balance the risk and benefit of government, it is mainly affected by the value of toll revenue cap which is estimated by lots of factors. This model could not only contribute to setting guarantee level, but also favor the intention of risk and benefit sharing in PPP projects. It greatly makes for solving the over-guarantee trouble that has caused huge loss for government.

Key words: PPP, minimum revenue guarantee, real option

中图分类号:

F224

王秀芹, 阚梦莹, 张艺红. 基于实物期权的PPP项目最低收入担保界限研究[J]. 中国管理科学, 2018, 26(7): 40-46.

WANG Xiu-qin, KAN Meng-ying, ZHANG Yi-hong. The Minimum Revenue Guarantee Level for PPP Projects Based on Real Option[J]. Chinese Journal of Management Science, 2018, 26(7): 40-46.

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