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- W66260055 abstract "This paper outlines a new approach to financing the design, construction and operation of transportation infrastructures from a financial engineering perspective. The idea is based on the establishment of public-private partnerships (PPPs) to finance transportation infrastructures through Traffic Backed Securities, a new concept based on pooling cash flows from traffic receivables so named because of its conceptual similarity to Mortgage-Backed and Asset-Backed Securities. The paper proposes a new solution for one of the most important problems of the PPPs: The distribution of risk between the private company (the holder of the infrastructure concession) and the government. The paper focuses on the modeling of the underlying risks and the ways of tranching (“backing”) and selling them to investors with specific investment and hedging needs. The paper estimates the distributions of future cash flows and use them as collateral to issue bonds according to bond rating requirements. Besides, the authors go one step further and pool projects in countries with different currencies and take advantage of the predictable foreign exchange rates. The model uses two types of state variables: stochastic processes for the traffic flow of the projects and stochastic interest rates for each country involved. Although this structure can be applied to all kinds of transportation infrastructures such as airports, railways and ports, this paper focuses on the analysis of concession contracts for highways. The paper shows the simplest possible application: a pool of two highway projects located in two different countries (hypothetical new highways in San Francisco, USA and in Barcelona, Spain) that have been calibrated using data of their respective existing transportation networks. The paper quantifies the diversification gains from pooling projects and the benefits of the securitization into different risk levels to be sold to different kinds of investors." @default.
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- W66260055 date "2007-01-01" @default.
- W66260055 modified "2023-09-23" @default.
- W66260055 title "Traffic-Backed Securities: A New Approach to Project Finance" @default.
- W66260055 hasPublicationYear "2007" @default.
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