基于船价波动的船舶投资风险管理研究

发布时间：2018-01-22 21:55

本文关键词： 船舶投资船舶价格波动性风险管理投资组合衍生品　出处：《大连海事大学》2013年硕士论文　论文类型：学位论文

【摘要】：船舶投资是航运业中企业经营管理的重要内容之一,它涉及航运市场参与者生产经营的全局,是航运市场参与者的战略层面的活动,影响着企业的经营效益和未来的发展状况。因为船舶工业复杂多变的性质,投资者在航运市场一直面临着关于投资和撤资的时间点的重要而又困难的抉择。银行、造船厂以及航运公司也在关心船舶的价格波动,因为船舶价格在短时间内的改变严重影响了他们的业务。因为这个原因,银行融资船舶,投资者提供股权给船东和经营者,造船厂建造新船,在航运市场的资产运营们都倾向于关注着船舶市场的波动,并利用有用的信息来做贷款、投资、投资组合构建和撤资的决定。因此,对风险及其动态变化有一个良好的理解并实施有效的风险管理技术对航运市场投资者们是很重要的,其中风险规避措施包括高效的投资组合结构和资产配置、衍生产品的定价和交易,以及风险价值(VaR)估计和风险监控。本文同时运用定性分析与定量分析相结合的方法,提出两种主要用来进行船舶价格波动风险管理的方法,分别是船舶投资组合多元化和基于船价衍生品的交易,然后以油轮和干散货船为例,对不同船型、不同尺寸的船舶价格进行了分析,并对各种船型、尺寸、船龄的船舶的价格波动性进行了深入探讨,然后从船舶价格波动性出发,详细评估船舶价格波动性及风险价值(VaR),并深入分析了如何通过船舶投资组合多元化和船舶价格衍生品交易来规避或者分散船舶价格波动性所带来的风险。
[Abstract]:The ship investment is one of the important contents of the enterprise management in the shipping industry. It involves the overall situation of the production and operation of the participants in the shipping market and is the strategic activity of the participants in the shipping market. Because of the complex and changeable nature of the shipbuilding industry, it affects the operating efficiency and the future development of the enterprise. Investors in the shipping market have been faced with important and difficult choices about the timing of investment and divestment. Banks, shipyards and shipping companies are also concerned about the price fluctuations of ships. For this reason, banks finance ships, investors provide equity to shipowners and operators, and shipyards build new ships. Asset operators in the shipping market tend to pay attention to the volatility of the ship market and use useful information to make decisions on loans, investments, portfolio building and divestment. Therefore, it is very important for investors in shipping market to have a good understanding of risk and its dynamic changes and to implement effective risk management technology. Risk aversion measures include efficient portfolio structure and asset allocation, pricing and trading of derivatives. At the same time, using the method of qualitative analysis and quantitative analysis, this paper puts forward two methods which are mainly used to manage the risk of ship price fluctuation. It is the diversification of ship portfolio and the trading based on ship price derivatives, then take tanker and dry bulk carrier as examples, analyze the ship price of different ship types and sizes, and analyze various ship types and sizes. In this paper, the price volatility of ships of different ages is discussed in depth, and then from the point of view of the volatility of ship prices, the volatility of ship prices and the risk value of VaR are evaluated in detail. It also analyzes how to avoid or disperse the risk of ship price volatility through diversification of ship portfolio and trading of ship price derivatives.
【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】：F552.6;F426.474;F832.48

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