Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership

Ming Wu, Wenya Lv and Qiuji Sun

Discrete Dynamics in Nature and Society, 2018, vol. 2018, 1-10

Abstract:

Most project operations management belongs to the type of public-private partnership (PPP), which is usually dynamic. This paper aims to propose a method for optimizing the price of credit default swaps (CDS) for the dynamic PPP system. This study investigates the credit risk measurement of PPP project financing and the pricing of risk mitigation instruments which are widely used in the case of immature markets in the early stage of China’s PPP development. Based on the credit risk measurement theory of the corporate and debt ratings, this paper considers the differences in various credit enhancement methods in the equity-like debt agreement and determines the credit rating of the equity-like debt in PPP projects. Some optimization methods are also proposed to derive the probability of default, so as to determine the price of the credit risk mitigation instrument of CDS which is based on the equity-like debt.

Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/DDNS/2018/7280974.pdf (application/pdf)
http://downloads.hindawi.com/journals/DDNS/2018/7280974.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:7280974

DOI: 10.1155/2018/7280974

Access Statistics for this article

More articles in Discrete Dynamics in Nature and Society from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().