需求风险共担下PPP项目资本补偿决策研究  

Research on capital compensation decision model of PPP project under demand risk sharing

作　　者：蒋贾霜 吕俊娜[1,3] JIANG Jiashuang;LYU Junna(School of Economics and Management,Chongqing Jiaotong University,Chongqing 400074,China;Hope College,Southwest Jiaotong University,Chengdu 610400,China;Guangxi Communications Investment Group Co.,Ltd.,Nanning 530022,China)

机构地区：[1]重庆交通大学经济管理学院,重庆400074 [2]西南交通大学希望学院,四川成都610400 [3]广西交通投资集团有限公司,广西南宁530022

出　　处：《人民长江》2022年第6期163-167,共5页Yangtze River

基　　金：国家自然科学基金资助项目(71701028);教育部人文社科基金资助项目(15YJCZH105);重庆市教委人文社会科学资助项目(SK1807JD)。

摘　　要：在轨道交通PPP项目中,政府通常采用资本补偿和需求保证/限制来吸引社会资本参与。资本补偿是轨道交通PPP项目特许协议的关键参数之一,有必要结合需求保证/限制的复合期权价值对资本补偿决策进行深入研究。采用二叉树模型与蒙特卡洛模拟相结合的方法来描述未来需求的不确定性,然后基于实物期权理论,将需求保证/限制看成一系列欧式看涨和看跌期权组合成的复合期权,并将其价值模型引入到资本补偿决策模型中,最后通过算例分析得到了需求保证/限制价值及出现次数的概率分布,考虑该价值下的最小资本补偿比例的风险分布。结果表明:需求保证/限制在极大概率上会对资本补偿决策产生影响,提供需求保证/限制能有效降低资本补偿的不稳定性,更有利于政府进行资本补偿决策。In rail transit PPP projects, governments usually use capital compensation and demand guarantees/restrictions to attract social capital.Capital compensation is one of the key parameters of the concession agreement of rail transit PPP project.It is necessary to make an in-depth study on the capital compensation decision by combining the compound option value of demand guarantee/limit.In this paper, the uncertainty of future demand was described by the combination of binary tree model and Monte Carlo simulation.The real option theory was then taken into account to treat demand guarantee/limit as a compound option constituted by a series of European call and put options.The value model of this compound option was then integrated into the capital compensation decision-making model to be used in calculation case analysis for obtaining the demand guarantee/limit value and the probability distribution of its occurrence count, as well as the risk distribution of the minimum capital compensation ratio under this value.The results show that demand guarantee/limit will most likely affect capital compensation decision making.Providing demand guarantee/limit can effectively reduce the instability of capital compensation and is more conducive to the government’s capital compensation decision making.

关 键 词：资本补偿 二叉树模型 蒙特卡洛模拟 需求保证/限制 实物期权 轨道交通PPP项目 

分 类 号：F294.3[经济管理—国民经济]