浅析我国企业应如何运用FFA对国际油轮运价波动进行风险控制

发布时间：2018-04-23 11:07

本文选题：油轮运输市场 + 风险管理　；参考：《复旦大学》2012年硕士论文

【摘要】：国际油轮运输市场由于受到诸多不可控制因素的影响,属于典型的高风险行业,而油轮的运价波动风险是国际油轮运输市场中的固有风险,航运企业为了有效地对海运风险进行控制而制定了多种应对策略,在这一过程中,逐渐发展产生了航运金融市场--航运期货市场。其中,远期运费协议(FFA)是近几年来发展起来的一种能够有效地管理运价风险的运费金融衍生品。这几年,远期运费协议在国外的应用逐渐广泛,交易量也迅猛增加,应用于邮轮运输市场也越来越多。然而,中国企业对远期运费协议这一金融市场的参与度仍然比较有限,应用于油轮运输市场的更少之又少,同此同时,国内企业对远期运费协议的运作管理也不够成熟。为了了解远期运费协议的操作规则并更深层次的发掘远期运费协议的应用潜力,本文选取了到目前为止在远期运费市场上交易量最大而且最为活跃的原油TD3航线和成品油TC2航线进行实证分析,计算了现货价格与远期运费协议价格的相关系数,从而发现现货市场和远期运费市场之间具有高度的相关性,具备运用远期运费协议进行套期保值的基本条件。并且本论文重点利用现代套期保值理论模型,对远期运费协议在这两条航线上的套期保值效果进行了分析,计算出的套期保值绩效指数证明了远期运费协议具有较好的套期保值功能,可以达到管理运价波动风险的目的. 鉴于以上论证加之对远期运费协议的现状和操作模式进行分析,得出应用FFA带来的优点以及存在的不足从而给出建议即我国企业在参与远期运费协议交易之前,要明确风险管控的目标,制定科学合理的操作方式和方法,选择合适的入市时机,深入了解市场、准确把握经济形势,才能使远期运费协议交易为企业的风险管理做出更大的贡献的参考性建议,最后指出了本文研究不足之处.
[Abstract]:The international tanker transportation market is a typical high risk industry due to the influence of many non control factors. The risk of oil tanker fluctuation is the inherent risk in the international tanker transportation market. In order to effectively control the shipping risk, shipping enterprises have developed a variety of coping strategies. In this process, the shipping enterprises have developed gradually. The shipping financial market, shipping futures market, the forward freight agreement (FFA) is a kind of freight financial derivatives which can effectively manage the risk of freight rate in recent years. In these years, the forward freight protocol has been widely used abroad, the volume of transaction is increasing rapidly, and more and more in the cruise market. At the same time, Chinese enterprises are not mature in the operation and management of the forward freight agreement.
In order to understand the operation rules of the forward freight agreement and explore the potential application potential of the forward freight protocol, this paper makes an empirical analysis of the largest and most active TD3 and TC2 routes in the forward freight market, and calculates the price of the spot price and the forward freight agreement. The correlation coefficient shows that there is a high correlation between the spot market and the forward freight market and the basic conditions for applying the hedging with the forward freight agreement. And this paper mainly uses the modern hedging theory model to analyze the hedging effect of the forward freight agreement on these two routes. The hedging performance index proves that the forward freight agreement has better hedging function and can achieve the purpose of managing the fluctuation risk of freight rate.
In view of the above argument and the analysis of the status and operation mode of the forward freight agreement, the advantages and disadvantages of the application of FFA are obtained. It is suggested that the enterprises in China should make clear the objectives of risk management before they participate in the forward freight agreement transaction, and make scientific and reasonable operation methods and methods to choose appropriate entry. The market opportunity, the thorough understanding of the market and the accurate grasp of the economic situation can make the forward freight agreement transaction a reference suggestion to make greater contribution to the risk management of the enterprise. Finally, it points out the shortcomings of this paper.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F279.2;F551;F224

【参考文献】