{"title":"Monte Carlo simulation and a value‐at‐risk of concessionary project","authors":"Xiaofeng Du, Amory N. Li","doi":"10.1108/01409170810920620","DOIUrl":null,"url":null,"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...","PeriodicalId":325346,"journal":{"name":"Management Research News","volume":"98 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"10","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Management Research News","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/01409170810920620","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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...