財務有限追索權在民間參與公共建設的應用 及其蘊涵:以實質選擇權角度分析

Financial Limited-Recourse in Public-Private Partnership Projects and Its Implications: A Real Option Based Analysis

張鎮江(Chen-Chiang Chang)

指導教授 ： 荷世平

國立臺灣大學/工學院/土木工程學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.10165

摘要

這份研究主要以實質選擇權來評估財務有限追索權對民間參與公共工程(PPP)計畫的影響。這篇論文的研究顯示為何追索權的使用可以鑑別PPP計畫的品質，並且討論追索權價值及其PPP專案屬性的關係，之後提出一個合約管理的方案能幫助政府監督好PPP的承包商。在這個模型當中追索權的價值是由合約中是否存在對承包商有限追索權的差距而得。我們證明追索權與PPP專案的品質呈現負相關。因此當合約中附帶追索權時，低品質的廠商將容易被篩選出去。追索權的價值是由專案的價值及承包商總資產的波動率、專案合約年限、政府招標時所規定的固定比例債權、債權銀行接管計畫後的回收比例、和計畫相對承包商資產的大小…等因素所決定。經由蒙地卡羅模擬計算後顯示，低品質的承包商其特徵是計畫的資產價值波動程度較大將背負較高的追索權價值，進而使低品質的承包商傾向遠離投標PPP 的計畫。因此，我們證明適當的使用財務有限追索權將有助於改善PPP招標市場上「劣幣趨逐良幣」的現象。

關鍵字

民間參與公共工程 ； 專案融資 ； 有限追索權 ； 實質選擇權 ； 重啟談判 ； 違約風險

並列摘要

This study develops a real option based model for evaluating financial limited-recourse in public-private partnership project. First of all, this study investigates why the recourse is useful in differentiating the quality of PPP project. Moreover, what the relationship is between the characteristics of project and the recourse. Finally, proposes a scheme that can help the government screen the PPP sponsors. In this model, the recourse value can be priced by the difference between a contract with recourse and a non-recourse contract. We show that the recourse value is negatively correlated with the quality of PPP project. Therefore, with limited-recourse, low quality sponsors can be screen out more easily. The value of recourse depends on the volatility of the project’s net present value, the sponsor total asset, the concession periods, the fixed percentage of the project’s debt amount held by the public authority, the recovery position of the debt amount held by the project lender, and the relative size between the project and the sponsor. Using the Monte Carlo simulation, we demonstrate that a low quality sponsor, characterized by larger volatility of the project’s asset value, will bear higher cost due to the higher recourse value, which makes the low quality sponsor tend to stay away from the PPP project tendering. Therefore, we show that a proper use of financial limited-recourse may improve the phenomenon that “Bad money drives out good.”

並列關鍵字

Public-Private Partnerships ； Project Finance ； Limited Recourse ； Real Option ； Renegotiation ； Default Risk

參考文獻

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