Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership
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 proj...
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/7280974 |
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| _version_ | 1832562802913443840 |
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| author | Ming Wu Wenya Lv Qiuji Sun |
| author_facet | Ming Wu Wenya Lv Qiuji Sun |
| author_sort | Ming Wu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-4b16a4714e354b2baf22f0ca55e4e0c2 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-4b16a4714e354b2baf22f0ca55e4e0c22025-02-03T01:21:39ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2018-01-01201810.1155/2018/72809747280974Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private PartnershipMing Wu0Wenya Lv1Qiuji Sun2School of Management, University of Science and Technology of China, Anhui, ChinaSchool of Management, Shanghai University, Shanghai, ChinaSchool of Management, Shanghai University, Shanghai, ChinaMost 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.http://dx.doi.org/10.1155/2018/7280974 |
| spellingShingle | Ming Wu Wenya Lv Qiuji Sun Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership Discrete Dynamics in Nature and Society |
| title | Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership |
| title_full | Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership |
| title_fullStr | Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership |
| title_full_unstemmed | Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership |
| title_short | Optimizing Price of Credit Default Swaps for Dynamic Project System of Public-Private Partnership |
| title_sort | optimizing price of credit default swaps for dynamic project system of public private partnership |
| url | http://dx.doi.org/10.1155/2018/7280974 |
| work_keys_str_mv | AT mingwu optimizingpriceofcreditdefaultswapsfordynamicprojectsystemofpublicprivatepartnership AT wenyalv optimizingpriceofcreditdefaultswapsfordynamicprojectsystemofpublicprivatepartnership AT qiujisun optimizingpriceofcreditdefaultswapsfordynamicprojectsystemofpublicprivatepartnership |