The report of the 19th national congress points out that from now on to 2020 is the decisive period for building a moderately prosperous society in an all-round way, while PPP project investment involves 19 industries, such as transportation, comprehensive development of cities and towns, education, health care, pension, etc., providing more convenience and services for people’s life. At present, the amount of investment in PPP projects in China is relatively large, and the cumulative investment is more than 13 trillion yuan. China’s PPP projects have formed the largest PPP market in the world. The promotion of PPP model is conducive to solving the problem of funds shortage of local governments, but the poor application of PPP model will lead to debt risk, even financial risk. This paper first analyzes the current situation of PPP model in China, then uses VAR model to quantify the debt risk loss caused by PPP projects, and local governments should prepare corresponding reserve funds to prevent the loss. Finally, in view of the debt risk, it puts forward some policy suggestions, such as the establishment of PPP project feasibility analysis, implementation process supervision, performance evaluation, and risk prevention mechanism.