| Public Private Partnership(PPP)is a long-term partnership established between the government and social capital in the fields of infrastructure and public services.The evaluation of the value of PPP projects is the basis for important decision-making by project participants,and social capital and financial institutions need to measure project returns and risks in order to make investment and financing decisions;In the evaluation of government value for money and financial affordability,it is also necessary to calculate the financial expenditure caused by bearing feasibility gap subsidies and risk sharing.In practice,the evaluation of PPP project value often adopts net present value valuation or net present value valuation methods adjusted by real option.However,the deviation in predicting future project net cash flow and the incorrect selection of discount rate of return can lead to inaccurate project value valuation,excessive benefits given to social capital in PPP implementation plans and PPP contracts,and excessive financial responsibility for expenditure.The particularity and difficulty of PPP project value evaluation are to value the "contingent" cash flows generated by the "feasibility gap subsidy","risk sharing",and "flexible concession price adjustment" of the project,and to ensure that the value evaluation results of the three mechanisms can be aggregated,so that their combined force can be quantitatively measured;At the same time,the government also needs effective strategies and methods to manage the deviation between the calculation results of "contingent expenditures" and the actual operating results;Finally,a fair project valuation should prevent any participant in the PPP from utilizing the valuation results to obtain risk-free arbitrage..Therefore,conducting systematic and in-depth research on the value evaluation of PPP projects has important theoretical and practical research significance.Firstly,based on the analysis of the risk list compiled by existing research institutes,this article clarifies that the basic variables of the valuation model are PPP project user payment income,operating costs,discount interest rate,project loan interest rate,and inflation index.Through empirical analysis,it was found that geometric Brownian motion can be used to describe the random fluctuations in PPP project revenue and operating costs;On the basis of geometric Brownian motion,the jump diffusion process can be used to further capture the stochastic income risk of PPP projects with small probabilities but leading to a significant decrease in revenue;The O-U process can be used to describe benchmark interest rates with steady-state mean regression characteristics;Geometric Brownian motion can be used to describe a random cumulative inflation index.Secondly,the time-varying factors of income randomness,operating cost randomness and discount rate randomness were included in the value evaluation model.Through the no-arbitrage valuation method,a feasibility gap subsidy mechanism was established to estimate the marginal contribution of project value.This model,along with the risk sharing valuation model and the flexible concession price adjustment valuation model,are based on a unified basic variable stochastic modeling assumption,and also use the no-arbitrage valuation method to obtain the valuation.Therefore,the three value evaluation results can be added to obtain the aggregate value increment contribution of these mechanisms to the PPP project price,And it can ensure that any participant cannot use the valuation results for risk-free arbitrage,thereby ensuring the fairness of the valuation results;The model reveals the quantitative relationship between the random characteristics of project revenue,operating cost,discounted interest rate,feasibility gap threshold,and PPP project value;By establishing a hedge asset portfolio to offset the uncertainty risk that interferes with project value,the valuation results can be combined with project risk managemen.Thirdly,incorporate the randomness of project loan interest rates and discount interest rates into the evaluation model,establish a no-arbitrage valuation model for the contribution of interest rate risk sharing to the marginal incremental value of PPP projects,and establish a no-arbitrage valuation model for floating rate project loans;We incorporated the randomness of project income,discount interest rate,and inflation into the evaluation model,and established a no-arbitrage valuation model for the contribution of PPP franchise price adjustment mechanism linked to inflation index threshold to the marginal increment of PPP project value.These three models clearly and quantitatively reveal the impact of "interest rate risk sharing" and "flexible concession price adjustment" on the value of PPP projects,quantitatively analyze the distribution results of PPP project value among social investors,banks,and governments,describe policy variables such as "risk sharing ratio","risk sharing threshold",and "price adjustment threshold",and "random characteristics of risk factors" The quantitative relationship between objective variables such as "random characteristics of benchmark interest rates" and "random characteristics of project income" and the value of PPP projects.Fourthly,Monte Carlo simulation shows that traditional evaluation methods are difficult to accurately evaluate the contingent returns of these three mechanisms,while the valuation of contingent income and expenditure with no-arbitrage methods is the fair cost of establishing investment portfolios to hedge against these contingent risk fluctuations.The case study shows that the PPP valuation model obtained in this paper can better evaluate project value than the NPV,adjusted NPV,and real option Dixit Pindyck investment option models.This article is based on the "risk return" balanced financial engineering non arbitrage valuation method,focusing on the evaluation of PPP project value.It constructs a PPP project value evaluation model with complete content,unified methods,and results that can be summarized.It can improve PPP project value evaluation and PPP scheme design,and also provide ideas and methods for hedging asset portfolio management for government management of contingent expenditure risks arising from participating in PPP projects. |
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