Monte Carlo simulation and a value‐at‐risk of concessionary project

Xiaofeng Du, Amory N. Li
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引用次数: 10

Abstract

Purpose – The purpose of this paper is to propose a comprehensive approach to the valuation of an infrastructure concession right and quantitative risk management projects in the People's Republic of China.Design/methodology/approach – The paper outlines a methodology, incorporating an economic model to appraise the dynamic value and risk of concession investment in the context of the design of concession contracts.Findings – The framework of the study simulates the present value of net cash flow and identifies probability with different parameters in concession contracts as a way to establish a correlation between parameters and net present value distribution. Moreover, the paper uses the technique of value‐at‐risk to set up an economic model to appraise the dynamic value and risk of a concession investment and analyse the key issues in the concession contracts design phase.Research limitations/implications – It is difficult to estimate precisely the distribution of parameters in the model. In particular...
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蒙特卡罗模拟和特许权项目的风险价值
目的-本文的目的是提出一种全面的方法来评估中华人民共和国的基础设施特许权和定量风险管理项目。设计/方法/方法-本文概述了一种方法,结合经济模型来评估特许合同设计背景下特许投资的动态价值和风险。研究结果-该研究的框架模拟了净现金流的现值,并确定了特许合同中不同参数的概率,以此建立参数与净现值分布之间的相关性。此外,本文运用风险价值技术建立了特许经营投资动态价值和风险的经济模型,并分析了特许经营合同设计阶段的关键问题。研究限制/启示-很难准确估计模型中参数的分布。特别是……
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