Modelagem e estimação de garantia de risco cambial ofertada pelo governo em uma concessão/parceria público-privadasimulações para a Companhia Docas do Espírito Santo (CODESA)

Resumo

The exchange rate risk arising from the volatility in revenue due to exchange rate fluctuations may prevent the participation of private investors in concessions and public-private partnerships. A possible solution to mitigate this risk is the offer of an exchange rate guarantee by the public sector. This study will investigate the average loss a concessionaire of Codesa and the government may have due to the exchange rate risk in the absence and presence of an exchange rate guarantee in the concessions. In addition, this study will seek to compare the impact to the government due to the offer of this guarantee with the loss arising from the maintenance of the investment execution policy in Codesa with Union resources. The theme will be analyzed in the light of the Conditional Value at Risk (CVaR) methodology, using Monte Carlo Method, also contemplating the currency guarantee pricing, which is basically a minimum revenue guarantee (MRG). From the concessionaire’s point of view, results indicate the adoption of this guarantee reduces the risk, whereas, from the government's point of view, results indicate this guarantee only diminishes the risk if the port is close to a natural hedge.

Ficha do documento

Tipo

Outro

Ano

2019

Instituição

Ipea

Fonte

Repositório do Ipea

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.ipea.gov.br:11058/19867

Licença

Licença Comum

Abrangência

Brasil - Espírito Santo

Temas

Gestão PúblicaPPPConcessõesModelagem Econômica

Palavras-chave

ParceriaSetor PrivadoSetor PúblicoTaxa de CâmbioPortosConcessãoGarantia de risco cambialGarantia de receita mínimaParceria Público-Privada (PPP)ConcessionExchange Rate Hedging MechanismMinimum Revenue Guarantee