基于VaR-GARCH模型的巴拿马型干散货船运价风险度量研究

发布时间：2018-05-24 07:14

本文选题：巴拿马型船舶 + 干散货运输　；参考：《大连海事大学》2013年硕士论文

【摘要】：国际干散货航运市场是资金密集型、高度专业化并且充满风险的市场。受到国际政治、经济、军事、法律等因素影响,干散货航运市场波动十分剧烈。2008年世界经济危机前,由于运价持续走高和乐观的市场情绪而引发了典型的市场顺周期性,大量船东跟风造船。经济危机发生后,国际经济衰退,运力严重过剩,运价长期低迷使航运业遭受重大打击,很多船东面临亏损倒闭危险。因此,如何对航运市场的风险进行定量的度量,从而帮助企业进行科学有效的风险管理就成为了航运企业经营风险管理的核心议题之一。国际干散货运输市场中,载重量为6.5-8万吨左右的巴拿马型船舶是十分具有代表性的船型。本文以巴拿马型干散货运输市场运价风险作为研究对象,通过定量分析为主、结合定性分析的方法,建立了基于VaR-GARCH的风险度量模型,对市场风险进行研究。本文主要研究内容如下：首先,本文从国际干散货运输市场、巴拿马型船干散货运输市场供求情况和巴拿马型船运输价格分析这三个方面对巴拿马型船干散货运输市场概况进行了介绍。在对巴拿马型船散货运输的船型、航线和货种的定义的基础上,通过对数据的分析,对巴拿马型干散货运输市场的供求现状及特点、影响运价的因素进行了简要总结；其次,本文介绍了VAR风险度量模型,包括其计算步骤和建模,并介绍了VaR-GARCH模型,为本文研究所用的数学模型奠定理论基础；随后对巴拿马型船国际干散货运输进行了实证分析,包括对统计数据的收集和描述性统计分析,正态性、平稳性、自相关型检验等；通过模型计算得出巴拿马型干散货运输市场的VaR值,并对结果进行了分析和检验。最后,在前文分析和计算基础上,本文对航运企业改善巴拿马型干散货运输风险管理提出了一些参考建议,并指出了研究的不足之处。
[Abstract]:The international dry bulk shipping market is a capital-intensive, highly specialized and risky market. Influenced by international political, economic, military, legal and other factors, the dry bulk shipping market fluctuates very violently. Before the 2008 world economic crisis, a typical pro-cyclical market was triggered by continued high freight rates and optimistic market sentiment. A large number of shipowners follow suit in building ships. In the wake of the economic crisis, the international economic recession, heavy overcapacity, a prolonged downturn in freight rates have hit the shipping industry hard, and many shipowners are at risk of losing money and closing down. Therefore, how to measure the risks of shipping market quantitatively and help enterprises to carry out scientific and effective risk management has become one of the core issues of management risk management of shipping enterprises. In the international dry bulk transport market, Panamanian ships with a deadweight of about 65 to 8 thousand tons are very representative. This paper takes the price risk of Panamanian dry bulk transportation market as the research object. Through quantitative analysis and qualitative analysis, a risk measurement model based on VaR-GARCH is established to study the market risk. The main contents of this paper are as follows: Firstly, this paper introduces the international dry bulk transportation market, the supply and demand situation of Panamanian dry bulk cargo transport market and the price analysis of Panamanian ship dry bulk transport market. On the basis of the definition of the ship type, route and type of bulk cargo transportation on Panamanian type ship, through the analysis of the data, the present situation and characteristics of supply and demand of the Panamanian dry bulk cargo transportation market and the factors influencing the freight rate are summarized briefly. This paper introduces the VAR risk measurement model, including its calculation steps and modeling, and introduces the VaR-GARCH model, which lays a theoretical foundation for the mathematical model used in this paper. Including the collection of statistical data and descriptive statistical analysis, normality, stationarity, autocorrelation test, etc. The VaR value of Panama dry bulk transportation market is calculated by model, and the results are analyzed and tested. Finally, on the basis of the above analysis and calculation, this paper puts forward some reference suggestions for shipping enterprises to improve the risk management of Panamanian dry bulk cargo transportation, and points out the deficiencies of the research.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F551;F224

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