基于利率掉期的船舶融资风险管理研究

发布时间：2018-03-16 19:13

本文选题：船舶融资　切入点：利率掉期　出处：《大连海事大学》2014年硕士论文　论文类型：学位论文

【摘要】：由于受08年金融危机的影响,波罗的海干散货运价指数(BDI)急剧跌至历史最低,航运经济也受此影响严重。全球货物水路运输数量急剧减少,多数航运界企业经营困难,亏损严重。船舶的交易市场因此经营惨淡,拆解船数量增加,二手船交易减少,新造船需求明显降低,船公司和造船厂在如此恶劣的市场行情下对船舶进行融资遇到前所未有的困难。航运界的业务发展需要资金运作数量巨大,是一个资本高度密集的产业,而资本收回周期却需要长时间的运营,几乎所有船公司都无法做到以自有资本来进行整个船舶业务运作,所以需要进行融资操作,主要以向商业银行等贷款为主。船公司在进行贷款融资的业务中,存在一个不确定因素,那就是利率变动,因此船公司要承担着由于利率变动所带来的未知风险。本文在国内外研究的基础上,提出如何应用利率掉期来规避船舶融资风险。分析了船舶融资的现状和基本方式,阐述了船舶融资风险的形式、风险的分类与风险的影响因素。并对船公司融资风险进行具体的分析,提出了船舶融资风险评价的内涵与过程,以及评价的一般步骤。接着引入了利率掉期的概念,研究了利率掉期的主要功能,以引入利率掉期对于船舶融资风险进行管理的思想。接着用数据分析了船舶融资贷款的性质,研究了固定利率贷款和浮动利率贷款的期限贷款运作机制,说明了浮动利率贷款存在利率波动性风险,需要通过衍生工具的介入降低这种风险,首先分析国际上融资风险管理使用的一般方法,远期利率协议的概念以及运作原理,并说明它的局限性,接着作者提出用利率掉期的方法解决船公司的船舶融资风险,通过利率掉期的指标介绍利率掉期的定价原理,并运用利率掉期的定价原理建立模型,即固定利率对浮动利率掉期模型和浮动利率对浮动利率模型,以通过案例来具体分析了利率掉期定价在船舶融资风险管理中应用,如何进行利率对冲和套期保值的过程。最后通过我国目前掉期业务的开展情况进行分析,给出了我国船公司运用利率掉期进行船舶风险管理的对策和建议。这样,船舶融资的参与者们可以尝试用利率掉期来对冲和管理他们所面临的风险,将利率波动所带来的风险控制在所能承受最小的范围内,用更低的成本,获得更大的利润。这种方法的研究,在现在或是不久的将来会成为各个船公司可持续发展所要解决的重要问题。
[Abstract]:As a result of the financial crisis of 2008, the Baltic dry bulk Freight Index (BDI) has plummeted to its lowest level in history, and the shipping economy has also been seriously affected by this. As a result, the trading market for ships has been poor, the number of dismantling ships has increased, the number of second-hand vessels has decreased, and the demand for new shipbuilding has decreased significantly. Shipping companies and shipyards face unprecedented difficulties in financing ships in such a bad market. The development of shipping business requires a huge amount of capital operation, and it is a highly capital-intensive industry. But the capital recovery cycle needs a long period of operation, almost all shipping companies can not do with their own capital to carry out the operation of the whole ship business, so we need to carry out financing operations. In the business of loan financing, the shipping company has an uncertain factor, that is, the change of interest rate, so the shipping company has to bear the unknown risk caused by the change of interest rate. Based on the research at home and abroad, this paper puts forward how to use interest rate swaps to avoid ship financing risk, analyzes the present situation and basic ways of ship financing, and expounds the form of ship financing risk. The classification of risk and the influencing factors of risk are analyzed, and the connotation and process of ship financing risk evaluation are put forward. Then the concept of interest rate swap is introduced. The main function of interest rate swap is studied to introduce the idea of interest rate swap to manage the risk of ship financing, and then the nature of ship financing loan is analyzed with data. This paper studies the operation mechanism of fixed rate loan and floating rate loan, and explains that floating rate loan has the risk of interest rate volatility, which needs to be reduced by the intervention of derivatives. First of all, it analyzes the general method of international financing risk management, the concept and operation principle of forward interest rate agreement, and explains its limitation. Then the author proposes to solve the ship financing risk of shipping company by using interest rate swap method. This paper introduces the pricing principle of interest rate swap through the index of interest rate swap, and establishes the model by using the pricing principle of interest rate swap, that is, the fixed rate to floating rate swap model and the floating rate to floating rate model. This paper analyzes the application of interest rate swap pricing in ship financing risk management and the process of interest rate hedging and hedging. In this paper, the countermeasures and suggestions of using interest rate swaps for ship risk management are given. In this way, the participants in ship financing can try to hedge and manage the risks they face with interest rate swaps. To keep the risk of interest rate fluctuations within a minimum range, to achieve greater profits at lower costs. At present or in the near future, it will become an important problem for the sustainable development of various shipping companies.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F550.66

【参考文献】