基于VaR历史模拟法的干散货航运市场分析-金融学专业论文.docxVIP

072015162马国强 072015162马国强 基于VaR历史模拟法的干散货航运市场分析 摘要 近年来，中国企业越来越多的参与到国际海运市场中，而国际干散货航运市场作 为一个近似完全竞争市场，运费价格在一周之内变化可高达20％以上，其波动性对船 公司和货主来说风险都是极其巨大的，而且干散货商品多是铁矿石、煤炭、农产品等， 商品自身价值并不高，这就更加突出了运费的重要性。运费波动为干散货经营者带来 了极大的风险和不确定性，利用航运业金融衍生品对企业面临的市场风险进行控制己 经是当务之急。 随着金融投资学和计量经济学的发展，金融风险度量的方法层出不穷。本文首先 简单描述了一般金融市场风险管理，回顾了目前金融风险度量的主流技术 —vaRfva】ue at Risk)方法的特点、基本原理和计算方法等，并对海运业波动和风险作 了分析。最后，本文对2005年到2009年上半年共1，123个交易日的BDI指数分市场 较为稳定和剧烈波动两个阶段利用历史模拟法进行VaR值测算，以反映市场风险状 况。通过测算，在两种市场情况下，分别使用原始的和改进的历史模拟法能较好的对 航运市场风险予以模拟。由于航运市场的巨幅波动以及VaR方法和VaR历史模拟法 的一些固有缺陷，本文建议航运企业做出投资决策时应谨慎行事。 关键词：风险管理，VaR，航运，BDI，历史模拟法 中图分类号：F83 ABSTRACTThere ABSTRACT There are more and more Chinese companies participating in the international shipping market in recent years．Dry bulk shipping industry is a complete competition market，and the freight rate of which could change more than 20％within a week．The huge fluctuation brings extreme risks for both shipping companies and shippers．Besides， the value of shipped material，as iron ore，coal and agriculture products，is not SO high， which make freight more important．As a sequence，the freight brought lots of risks and uncertainty to dry bulk ship owners，and using shipping financial derivatives to control market risk is urgent for shipping companies． As the development of financial investment theoryeconometrics，fmancial risk management have various methods．This article firstly introduces the basic financial risk management，and then describes the characteristic，principles and calculation method of VaR(Value at Risk)，which iS the most usually used financial risk control theory currently． And this article then applied VaR theory for fluctuationrisks in shipping．Finally this article took a realistic calculation using VaR to analyze the BDI during the stable period and fluctuated period between years 2005 to 2009，totally l，1 23 working days with the historical simulation method as to analyze the risk situation of the ship