VaR约束下资产组合模型在运价风险管理中的应用

发布时间：2018-02-12 23:59

本文关键词： 国际干散货市场风险价值 EGARCH-M模型资产组合理论　出处：《大连海事大学》2012年硕士论文　论文类型：学位论文

【摘要】：近年来,大小干散货船东积极投资船舶市场,干散货运力爆炸式增长,在投资过程中,跟风现象极为严重,没有合理的评估不同船型干散货市场波动风险。以致在爆发金融危机时,国际航运业遭受重创,运力严重过剩,许多企业入不敷出,面临亏损甚至破产倒闭的境况。如何对各种不同船型干散货市场的风险进行测量,并做出合理正确的投资决策,有效地规避运价波动风险,已经成为众多航运公司急需解决的问题。国际干散货航运市场是由好望角型船市场、巴拿马型船市场、灵便型船市场三大主要市场构成,三种船型运输市场有着各自不同的波动特征,正是由于各自的不同特点,使航运公司有可能通过三大市场的资产组合投资,实现稳定收入和规避风险。本文的重点是通过对好望角型船市场、巴拿马型船市场、灵便型船市场的比较分析,运用VaR模型对三大船型散货市场的VaR风险值进行测量,并运用VaR约束下资产组合模型对三大市场的最佳组合投资比例进行了深入研究,实现风险规避和收益最大化。本论文首先介绍了国际干散货航运市场的概况,回顾了国际干散货航运市场的需求和供给,接着分别介绍三大船型干散货市场：好望角船型散货市场、巴拿马船型散货市场、灵便型散货市场的定义、航线,在此基础上分析得到三大船型市场各自的特点；再详细介绍了VaR方法,并对传统的GARCH模型进行改进,提出基于GED分布的EGARCH-M模型；紧接着简要介绍了资产组合理论,阐述了资产组合的收益与风险以及资产组合模型；再接着运用基于GED分布的EGARCH-M模型对市场风险进行了定量测量,计算出每个市场的VaR值；最后利用VaR约束下的资产组合模型得出在三大船型干散货市场的最佳资产组合方式。从而得出结论,即通过利用VaR约束下的资产组合模型,航运公司的风险得到可以有效控制,并且能够获得较高的平均收益。
[Abstract]:In recent years, large and small dry bulk cargo shipowners have actively invested in the ship market, and the dry bulk cargo transport capacity has increased explosively. In the process of investment, the phenomenon of following the wind is extremely serious. There was no reasonable assessment of the volatility risks in the dry bulk cargo market of different types of ships. As a result of the financial crisis, the international shipping industry suffered a severe overcapacity and many enterprises were unable to make ends meet. How to measure the risk of various types of dry bulk cargo market and make reasonable and correct investment decisions to effectively avoid the risk of fluctuation of freight rate. It has become an urgent problem for many shipping companies to solve. The international dry bulk shipping market is composed of three major markets: Cape of good Hope, Panamanian, and flexible. The three types of shipping markets have their own fluctuating characteristics, which are precisely due to their different characteristics. It is possible for shipping companies to achieve stable income and risk aversion through portfolio investment in the three major markets. This paper focuses on the comparative analysis of the Cape of good Hope market, the Panamanian market and the flexible ship market. The VaR model is used to measure the VaR risk value of the three major bulk cargo markets, and the optimal proportion of portfolio investment in the three major markets is deeply studied by using the portfolio model under the constraint of VaR to realize the risk aversion and the maximization of the returns. This paper first introduces the general situation of the international dry bulk shipping market, reviews the demand and supply of the international dry bulk shipping market, and then introduces three major dry bulk shipping markets: Cape of good Hope bulk market, Panama ship bulk market. On the basis of the definition and route of the flexible bulk market, the characteristics of the three major ship markets are analyzed, and then the VaR method is introduced in detail, and the traditional GARCH model is improved, and the EGARCH-M model based on the GED distribution is put forward. Then the paper briefly introduces the portfolio theory, expounds the return and risk of the portfolio and the portfolio model, then uses the EGARCH-M model based on the GED distribution to measure the market risk quantitatively and calculates the VaR value of each market. Finally, by using the portfolio model under the VaR constraint, the optimal portfolio mode in the three major dry bulk shipping markets is obtained. It is concluded that by using the portfolio model under the VaR constraint, the risk of the shipping company can be effectively controlled. And can obtain higher average income.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F550.5;F224

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