| 油船运价VaR风险度量研究 |
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| 引用本文： | 金雁.油船运价VaR风险度量研究[J].武汉理工大学学报(交通科学与工程版),2010,34(2):297-300. |
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| 作者姓名： | 金雁 |
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| 作者单位： | 武汉理工大学交通学院,武汉,430063 |
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| 基金项目： | 欧盟Asia-link Program项目资助(Projectno.VN010) |
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| 摘 要： | 在分析运价市场波动性的基础上,利用1995~2003年间国际油船运输市场运价样本建立了油船运价GARCH模型.针对船东和货主在航运市场中所处地位不同而面临风险不同的实际情况,采用VaR风险测度方法对不同误差项分布的运价GARCH模型进行了风险分析,得出船东承担的市场风险大于货主.因此当航运市场运价产生巨大波动时,船东应主动采取积极方法应对.
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| 关 键 词： | 运价 自回归条件异方差 风险 |
Value at Risk Research on Tanker Freight Rates |
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| Jin Yan.Value at Risk Research on Tanker Freight Rates[J].journal of wuhan university of technology(transportation science&engineering),2010,34(2):297-300. |
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| Authors: | Jin Yan |
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| Institution: | School of Transportation/a>;Wuhan University of Technology/a>;Wuhan 430063/a>;China |
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| Abstract: | This paper establishes GARCH model to simulate the transportation freight rates using the samples of the international tanker from 1995 to 2003.Since ship-owner and shipper will face different risk during the freight rates fluctuate a lot in the shipping market,the paper analyzes the fluctuation and risk of the transport market in detail with value at risk.When the freight rates change a lot,ship-owner will face bigger risk than shipper and ship-owner should find positive methods to avoid the risk initiativ... |
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