基于期权调整利差法和蒙特卡罗模拟法的水利PPP项目资产证券化定价研究

Asset securitization pricing of water conservancy PPP projects based on option-adjusted spread method and Monte Carlo simulation method

合理的资产证券化定价可为水利PPP项目吸引更多社会资本投资,提供长期稳定的资金来源。基于定价方法的对比分析,结合水利行业PPP项目发展现状和特点,选取期权调整利差法和蒙特卡罗模拟法,分别构建定价模型,并选取污水处理PPP项目实例进行资产证券化定价研究。结果显示,两种方法得出的定价结果都较为符合市场实际,但相比之下,由于期权调整利差法构建的定价模型更加贴合水利PPP资产证券化项目的存续特点,因而其定价结果更加准确,更加接近证券实际发行价格。

The reasonable asset securitization pricing can attract more social capital investment and provide a long-term stable source of funds for water conservancy PPP projects.Based on the comparative analysis of pricing methods and the development status and characteristics of PPP projects in water conservancy industry,the option-adjusted spread method and Monte Carlo simulation method are selected to establish pricing models respectively,and the case of sewage treatment PPP project is selected to study the asset securitization pricing.It is shown that the pricing results obtained by the two methods are both in line with the market reality,but in contrast,the pricing model established by the option-adjusted spread method is more in line with the characteristics of asset securitization of water conservancy PPP projects,so its pricing results are more accurate and closer to the actual issuance price of securities.