期租合同违约风险影响因素分析及测度研究

发布时间：2018-05-25 13:22

本文选题：期租合同 + 违约风险　；参考：《大连海事大学》2012年硕士论文

【摘要】：后金融危机时代,国际贸易增长速度依然缓慢,严重依赖于国际贸易的航运市场经济依然处于低谷时期,持有市场高峰期签订的期租合同的船舶经营人都面临着亏损破产的风险,部分船舶承租人因企业亏损破产或不愿再承受高额亏损的风险而发生违约行为,导致期租合同不能有效履行,这对船舶出租人造成了巨大的损失,因此对期租合同违约风险进行有效的测度变得非常意义。通过定性分析,认为期租合同违约风险受到即期市场运价、船舶承租人资产状况、期租合同期限长短的影响。借鉴评测利率互换违约风险的结构化模型,引申利率期限结构的应用,利用租期期限与远期租金率之间的关系,建立运价期限结构模型：引申利率互换违约期权价值的定义,建立期租合同市场价值模型,有效评估期租合同价值随即期市场运价变化的数量关系；通过设立违约行为触发机制,建立期租合同违约风险溢价评测模型；同时,建立即期市场运价随机波动模型,来对即期市场运价进行模拟仿真,以助于实现对违约风险溢价模型的可行性检验；最后,通过设计相应的算法路径,利用蒙特卡洛模拟方法模拟仿真即期市场运价,运用matlab软件对违约风险溢价模型进行仿真估计,得到违约风险溢价受即期市场运价、租期期限、承租人资产状况的影响变化关系。通过分析可知,运用建立的运价期限结构,可以有效的计算期租合同的市场价值,期租合同违约风险溢价的测度模型是有效可行的,结果表明,期租合同违约风险溢价是随时间变化的,同时受到租期期限、签订期租合同时的即期市场运价、承租人资产状况的影响,随租期期限越来越长,违约风险溢价越来越大,随签订期租合同时即期市场运价越高,违约风险溢价越高,承租人资产储备越高,违约风险溢价越小。船舶出租人可以通过本文的研究结果,调整签订期租合同的租金率来弥补违约风险的损失。
[Abstract]:In the post-financial crisis era, the growth rate of international trade is still slow, and the shipping market economy, which is heavily dependent on international trade, is still at a low point. The shipowner who holds the term charter contract signed during the peak period of the market is facing the risk of loss and bankruptcy. Some ship charterers have defaulted because of the loss of the enterprise or their unwillingness to bear the risk of high losses. As a result, the term charter contract can not be effectively performed, which has caused a huge loss to the shipowner, so it is very important to measure the risk of breach of contract effectively. Through qualitative analysis, it is concluded that the risk of breach of contract is affected by spot market price, asset status of charterer and duration of term charter contract. Based on the structured model of evaluating the default risk of interest rate swaps, the application of term structure of interest rate is extended, and the relationship between term of lease and forward rent rate is used to establish the term structure model of freight rate: the definition of default option value of interest rate swap. Establishing the market value model of term rent contract, effectively evaluating the quantitative relationship of the change of market freight rate in the immediate period contract value; establishing the risk premium evaluation model of default risk of term rent contract by setting up the triggering mechanism of breach of contract; at the same time, setting up the risk premium evaluation model of contract breach of term rent contract. Establish the spot market price stochastic fluctuation model to simulate the spot market price in order to help to achieve the default risk premium model feasibility test; finally, through the design of the corresponding algorithm path, Monte Carlo simulation method is used to simulate spot market price and matlab software is used to estimate default risk premium model. The influence of the lessee's property status. Through the analysis, we can know that the market value of the term rental contract can be calculated effectively by using the established freight rate term structure, and the measuring model of the default risk premium of the term rent contract is effective and feasible. The result shows that, The default risk premium of term lease contract changes with time, and is affected by the term of lease, the spot market freight rate when signing the term lease contract, the condition of the lessee's assets, and the risk premium of breach of contract becomes larger and larger with the increase of the term of lease. With the signing of term lease contract, the higher the spot market price, the higher the default risk premium, the higher the lessee's asset reserve, the smaller the default risk premium. The shipowner can make up for the loss of default risk by adjusting the rental rate of the contract.
【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;F224

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