国际油轮运输企业燃油风险控制策略研究

发布时间：2018-03-16 17:07

本文选题：国际油轮运输企业　切入点：燃油风险　出处：《上海交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：受国际政治经济局势影响,国际油品市场向来以跌宕起伏著称。船用燃料油是原油的下游产品,燃油费用占据油轮运输企业约40%的成本,燃油风险成为油运企业所面临的巨大风险。为了降低燃油成本,缓解燃油价格波动压力,油轮公司通常采用燃油套期保值以及远期合约锁定油价等措施,然而,实际操作中控制燃油风险的难度依然很大。受班轮市场加收燃油附加费思路启发,本文以建立油轮市场中的油价与运价联动机制运价模型为目的,运用计量经济学中的向量自回归模型(VAR)、方差分解、VaR-GARCH模型等方法加以实现并检验,得出相应结论,以期通过实务操作层面降低油轮运输企业燃油风险。为建立联动运价模型,本文首先引入VAR模型,明确燃油价格与油轮运价之间的关系。其次,运用方差分解法,就燃油价格波动对油轮运价造成的影响进行定量化分析,进而得出联动运价公式。该公式由三部分组成——分别为代表市场运价水平的指数运费、燃油价格波动以及油价波动影响下的运价波动减除。之后,利用联动运价公式,通过实例分析,计算相应联动运费,并将其与指数运费对比,构建VaR-GARCH模型进行风险测度。最后的计算结果显示,在一定概率水平下,采用联动运费比指数运费所面临的风险要低。联动运价模型的建立,降低了油轮运输企业的风险,同时为企业合理制定运价提供了新的思路,可以将其运用于国际油轮运输市场,供决策者参考。
[Abstract]:The international political and economic situation, the international oil market has always been famous for its ups and downs. Marine fuel oil is the downstream product of crude oil, fuel costs accounted for about 40% of the cost of oil transportation enterprises, has become a huge risk of oil fuel risk faced by the enterprises. In order to reduce the fuel cost, ease fuel price fluctuation pressure, usually by tanker company fuel hedging and forward contracts to lock in oil prices and other measures, however, in the actual operation of the fuel control risk is still great difficulty.
The liner market fuel surcharge charge thought inspiration, in order to establish the oil tanker market and the freight tariff linkage mechanism model, using vector autoregressive (VAR) model, variance decomposition, VaR-GARCH model is implemented and tested, the corresponding results obtained through practice to reduce the tanker the risk of fuel transportation enterprises.
In order to establish linkage price model, this paper first introduces the VAR model, a clear relationship between oil price and tanker freight. Secondly, using variance decomposition method, the quantitative analysis on the effect of fuel price volatility of tanker freight caused, then obtains the formula. The formula of price linkage consists of three parts: index respectively represent the freight market tariff levels, deduction of freight fluctuation effect of fuel price volatility and price fluctuations. After using the linkage rate formula, through the example analysis, calculate the linkage freight, and the freight index comparison, construct risk measurement VaR-GARCH model. Finally the calculation results show that under a certain probability level, the linkage freight ratio the risk index of freight facing to low.
The establishment of the linkage tariff model reduces the risk of the tanker transportation enterprises, and provides a new train of thought for the enterprises to make reasonable freight rates, and it can be applied to the international tanker transport market for policymakers to refer to.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F551;F416.22;F224

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