Credit risk in infrastructure PPP projects under the real options approach

IF 3 Q2 BUSINESS

Construction Management and Economics Pub Date : 2022-11-28 DOI:10.1080/01446193.2022.2151023

Carlos Andres Zapata Quimbayo, Carlos Armando Mejía Vega

引用次数: 2

Abstract

Abstract The purpose of the paper is to provide a method to estimate the credit risk in infrastructure public–private partnership (PPP) projects by using a structural model, the Real Options approach, and the Monte Carlo simulation technique. To do that, previous models are extended under a structural framework for credit risk where the embedded options in the credit agreement such as the option to renegotiate and the option to exit are introduced as well as the uncertainty of the cash flows. In that sense, all the components of expected loss (EL) such as the probability of default, the exposure, and the recovery rate for lenders are modelled and estimated in a PPP toll road project by considering the embedded options as well as the default events. Consequently, it is found that the embedded options improve the recovery rate for lenders and their EL. Additionally, practical insights about the effects of the embedded options in the credit agreement and the probability of default are provided.

查看原文本刊更多论文

实物期权法下基础设施PPP项目的信用风险

摘要本文的目的是通过使用结构模型、实物期权方法和蒙特卡罗模拟技术，提供一种估计基础设施公私合作（PPP）项目信用风险的方法。为此，在信贷风险的结构框架下扩展了以前的模型，其中引入了信贷协议中的嵌入选项，如重新谈判选项和退出选项，以及现金流的不确定性。从这个意义上说，预期损失（EL）的所有组成部分，如违约概率、风险敞口和贷款人的回收率，都是在PPP收费公路项目中通过考虑嵌入选项和违约事件来建模和估计的。因此，研究发现，嵌入期权提高了贷款人及其EL的回收率。此外，还提供了关于嵌入期权在信贷协议中的影响和违约概率的实用见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Construction Management and Economics BUSINESS-

CiteScore

7.50

自引率

14.70%

发文量

期刊介绍： Construction Management and Economics publishes high-quality original research concerning the management and economics of activity in the construction industry. Our concern is the production of the built environment. We seek to extend the concept of construction beyond on-site production to include a wide range of value-adding activities and involving coalitions of multiple actors, including clients and users, that evolve over time. We embrace the entire range of construction services provided by the architecture/engineering/construction sector, including design, procurement and through-life management. We welcome papers that demonstrate how the range of diverse academic and professional disciplines enable robust and novel theoretical, methodological and/or empirical insights into the world of construction. Ultimately, our aim is to inform and advance academic debates in the various disciplines that converge on the construction sector as a topic of research. While we expect papers to have strong theoretical positioning, we also seek contributions that offer critical, reflexive accounts on practice. Construction Management & Economics now publishes the following article types: -Research Papers -Notes - offering a comment on a previously published paper or report a new idea, empirical finding or approach. -Book Reviews -Letters - terse, scholarly comments on any aspect of interest to our readership. Commentaries -Obituaries - welcome in relation to significant figures in our field.