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  本文關鍵詞： 國際干散貨市場 風險價值 EGARCH-M模型 資產(chǎn)組合理論　出處：《大連海事大學》2012年碩士論文　論文類型：學位論文

【摘要】：近年來,大小干散貨船東積極投資船舶市場,干散貨運力爆炸式增長,在投資過程中,跟風現(xiàn)象極為嚴重,沒有合理的評估不同船型干散貨市場波動風險。以致在爆發(fā)金融危機時,國際航運業(yè)遭受重創(chuàng),運力嚴重過剩,許多企業(yè)入不敷出,面臨虧損甚至破產(chǎn)倒閉的境況。如何對各種不同船型干散貨市場的風險進行測量,并做出合理正確的投資決策,有效地規(guī)避運價波動風險,已經(jīng)成為眾多航運公司急需解決的問題。 國際干散貨航運市場是由好望角型船市場、巴拿馬型船市場、靈便型船市場三大主要市場構(gòu)成,三種船型運輸市場有著各自不同的波動特征,正是由于各自的不同特點,使航運公司有可能通過三大市場的資產(chǎn)組合投資,實現(xiàn)穩(wěn)定收入和規(guī)避風險。本文的重點是通過對好望角型船市場、巴拿馬型船市場、靈便型船市場的比較分析,運用VaR模型對三大船型散貨市場的VaR風險值進行測量,并運用VaR約束下資產(chǎn)組合模型對三大市場的最佳組合投資比例進行了深入研究,實現(xiàn)風險規(guī)避和收益最大化。 本論文首先介紹了國際干散貨航運市場的概況,回顧了國際干散貨航運市場的需求和供給,接著分別介紹三大船型干散貨市場：好望角船型散貨市場、巴拿馬船型散貨市場、靈便型散貨市場的定義、航線,在此基礎上分析得到三大船型市場各自的特點；再詳細介紹了VaR方法,并對傳統(tǒng)的GARCH模型進行改進,提出基于GED分布的EGARCH-M模型；緊接著簡要介紹了資產(chǎn)組合理論,闡述了資產(chǎn)組合的收益與風險以及資產(chǎn)組合模型；再接著運用基于GED分布的EGARCH-M模型對市場風險進行了定量測量,計算出每個市場的VaR值；最后利用VaR約束下的資產(chǎn)組合模型得出在三大船型干散貨市場的最佳資產(chǎn)組合方式。從而得出結(jié)論,即通過利用VaR約束下的資產(chǎn)組合模型,航運公司的風險得到可以有效控制,并且能夠獲得較高的平均收益。
[Abstract]:In recent years, large and small dry bulk cargo shipowners have actively invested in the ship market, and the dry bulk cargo transport capacity has increased explosively. In the process of investment, the phenomenon of following the wind is extremely serious. There was no reasonable assessment of the volatility risks in the dry bulk cargo market of different types of ships. As a result of the financial crisis, the international shipping industry suffered a severe overcapacity and many enterprises were unable to make ends meet. How to measure the risk of various types of dry bulk cargo market and make reasonable and correct investment decisions to effectively avoid the risk of fluctuation of freight rate. It has become an urgent problem for many shipping companies to solve. The international dry bulk shipping market is composed of three major markets: Cape of good Hope, Panamanian, and flexible. The three types of shipping markets have their own fluctuating characteristics, which are precisely due to their different characteristics. It is possible for shipping companies to achieve stable income and risk aversion through portfolio investment in the three major markets. This paper focuses on the comparative analysis of the Cape of good Hope market, the Panamanian market and the flexible ship market. The VaR model is used to measure the VaR risk value of the three major bulk cargo markets, and the optimal proportion of portfolio investment in the three major markets is deeply studied by using the portfolio model under the constraint of VaR to realize the risk aversion and the maximization of the returns. This paper first introduces the general situation of the international dry bulk shipping market, reviews the demand and supply of the international dry bulk shipping market, and then introduces three major dry bulk shipping markets: Cape of good Hope bulk market, Panama ship bulk market. On the basis of the definition and route of the flexible bulk market, the characteristics of the three major ship markets are analyzed, and then the VaR method is introduced in detail, and the traditional GARCH model is improved, and the EGARCH-M model based on the GED distribution is put forward. Then the paper briefly introduces the portfolio theory, expounds the return and risk of the portfolio and the portfolio model, then uses the EGARCH-M model based on the GED distribution to measure the market risk quantitatively and calculates the VaR value of each market. Finally, by using the portfolio model under the VaR constraint, the optimal portfolio mode in the three major dry bulk shipping markets is obtained. It is concluded that by using the portfolio model under the VaR constraint, the risk of the shipping company can be effectively controlled. And can obtain higher average income.
【學位授予單位】：大連海事大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F550.5;F224

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本文編號：1506860