干散货远期运费协议的风险测度研究-交通运输规划与管理专业论文.docx

PAGE IV PAGE IV RESEARCH ON DRY FFA RISK MEASUREMENT ABSTRACT Shipping, which is derived from the global trade, completes 90% of the international trade transportation. Freight reflects the supply and demands in the shipping market and the volatility has been increased by the oil price, fleets scale and routes setting and so on. Shipping futures could reduce or avoid the risk of market, so does FFA. FFA has developed rapidly since its birth, the volume climbing steadily, the participations growing more and more, the main type of the participations increasing diversely. Many Asian companies indcluding Chinese are increasingly concerned about the FFA’S hedging and speculative functions, even some companies have involved. But FFA’s own risk can’t be ignored. The paper studies the FFA risk by risk management methods from finance field. Firstly, the paper introduces FFA about its base price material, settlement methods, contract terms and functions. Secondly, the paper defines risk and risk management, which are the base of risk measument methods, identifies the index futures’ general risks and FFA’ unique risks, focuses on the market risk,which is most common and researched on the paper. Thirdly, the paper summarizes market risk measurement methods, focuses on VaR and the improved method CVaR, which are widely approached in the financial industry currently, analysises and compares various methods to calculate VaR. Then, the paper points out how to calculate VaR by the extreme theory which describes the tail of the distribution precisely and could calculate VaR under extreme market conditions. Finally, the paper does empirical research on the route P3A, analysises the FFA settlement price of this route, calculates the VaR and CVaR under GEV and GP distributions. Post-test shows that the results could predict the future risks accurately and effectively. At the same time, the paper points out additional functions of VaR in the shipping industry such as performance manage