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Real option methods for improving economic risk management in infrastructure project finance.

机译：改善基础设施项目融资中经济风险管理的实物期权方法。

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摘要

Effective risk management is essential for success in infrastructure project financing arrangements such as Build-Operate-Transfer (BOT). Both Sponsors and Lenders consider the revenue risk an extremely important factor when they assess a BOT project's feasibility. One potential strategy for mitigating the revenue risk is a revenue guarantee, where a guarantor secures a minimum amount of revenue for a project, and such guarantees take the form of a put option. Current valuation techniques: (a) lack the flexibility to structure these options in a manner that is affordable to the Government and attractive to the Private Sector, and (b) presume that a single guarantor, i.e. the Government, will underwrite the guarantee. These shortcomings open a research opportunity to explore the development of methods to value more flexible and affordable revenue risk mitigation contracts.; This research presents a novel valuation framework that supports developing new types of revenue risk mitigation contracts. The approach provides BOT project participants with far more flexibility than prevailing methods. In the framework, the contracts are modeled as multiple-exercise real options and valued by two new valuation methods, the Multi-Least Squares Monte Carlo method (MLSM) and the Multi-Exercise Boundary method (MEB), which were derived by extending option theory. These two methods successfully combine Monte Carlo simulation and dynamic programming techniques to price multiple-exercise real options. A hypothetical case study illustrates the application and the potential of the two methods to serve as tools for risk mitigation in BOT projects. In addition, the general nature of the framework increases the scope of its applicability beyond the area of infrastructure project finance. It is flexible enough to assess any type of contract with multiple-exercise option characteristics.
机译：有效的风险管理对于基础设施项目融资安排（如建设-运营-转让（BOT））的成功至关重要。担保人和放款人在评估BOT项目的可行性时都将收入风险视为极其重要的因素。减轻收入风险的一种潜在策略是收入保证，其中担保人确保项目的最低收入，并且此类保证采取认沽期权的形式。当前的估值技术：（a）缺乏以政府负担得起，对私营部门具有吸引力的方式来构造这些选择的灵活性，并且（b）假定由单个担保人（即政府）来担保。这些缺点为研究开发方法提供了机会，以评估更灵活和负担得起的减轻收入风险合同的价值。这项研究提出了一种新颖的估值框架，该框架支持开发新型的收益风险缓解合同。该方法比传统方法为BOT项目参与者提供了更大的灵活性。在该框架中，将合同建模为多练习实物期权，并通过两种新的估值方法（多最小二乘蒙特卡洛方法（MLSM）和多练习边界方法（MEB））对其进行估值，这两种方法通过扩展期权得出理论。这两种方法成功地结合了蒙特卡洛模拟和动态编程技术，为多练习实物期权定价。假设的案例研究说明了这两种方法在BOT项目中作为缓解风险工具的应用和潜力。此外，该框架的一般性质扩大了其适用范围，超出了基础设施项目融资领域。它具有足够的灵活性来评估具有多重运动期权特征的任何类型的合同。

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  • 作者

    Chiara, Nicola.;

  • 作者单位

    Columbia University.;

  • 授予单位 Columbia University.;
  • 学科 Economics Finance.; Engineering Civil.; Operations Research.
  • 学位 Ph.D.
  • 年度 2006
  • 页码 158 p.
  • 总页数 158
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;建筑科学;运筹学;
  • 关键词

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