本文選題：國際油輪運價指數(shù)　切入點：隨機波動模型(SV)　出處：《上海交通大學》2012年碩士論文　論文類型：學位論文

【摘要】：近年來,作為體現(xiàn)國際油輪運輸市場運價走勢的運價指數(shù)波動越來越劇烈,而航運界對運價指數(shù)波動風險的研究主要集中在干散貨市場,傳統(tǒng)的油輪運價指數(shù)波動風險度量方法已經(jīng)無法滿足新競爭形勢下的要求,因此從理論上尋找更優(yōu)的模型來度量國際油輪運價指數(shù)波動風險,更加充分的認識其波動性,從而為油輪運輸企業(yè)進行風險控制提供更好理論依據(jù)顯得十分重要。 隨機波動(SV)模型在刻畫金融序列波動特征方面優(yōu)于傳統(tǒng)的廣義自回歸條件異方差(GARCH)模型,因此本文嘗試引入SV模型來刻畫國際油輪運價指數(shù)波動及其特征,結合廣義帕累托分布GPD分布的極值理論,建立起度量國際油輪運價指數(shù)波動風險的動態(tài)VaR模型,主要內容如下: 首先主要介紹了國際油輪運價指數(shù)的概況、構成、計算和主要特征,指出油輪運價指數(shù)波動的尖峰厚尾性,波動集聚性,長記憶性和持續(xù)性,以及對正、負沖擊產生不同回應的杠桿效應,為后文做模型的對比分析奠定基礎。 其次從理論上分別介紹了三類SV和GARCH模型,即標準模型,厚尾模型和杠桿模型,重點闡述了SV模型參數(shù)估計的MCMC方法和模型判別的DIC準則,在此基礎上結合基于GPD的極值理論和VaR方法建立起動態(tài)風險度量模型,并給出模型適用性的失敗率驗證方法。 最后選取一定數(shù)量BDTI和BCTI指數(shù)進行實證研究,分別構建SV模型和GARCH模型,并對兩模型進行對比分析,指出SV類模型在刻畫油輪運價指數(shù)波動特征方面的優(yōu)勢,得出L-SV模型為最優(yōu)模型,而T分布條件下,GARCH-T模型最優(yōu)的結論,后采用L-SV模型進行最終的動態(tài)VaR值計算,失敗率驗證結果表明L-SV模型能夠很好的度量出油輪運輸市場的波動風險,特別適用于原油運輸市場,并且國際原油運輸市場的波動風險要大于國際成品油運輸市場。
[Abstract]:In recent years, as a reflection of the trend of the international tanker transportation market, the fluctuation of the freight rate index is becoming more and more intense, while the research on the risk of the fluctuation of the freight rate index in the shipping industry is mainly focused on the dry bulk cargo market. The traditional risk measurement method of oil tanker price index fluctuation has been unable to meet the requirements of the new competitive situation, so we can find a better model to measure the fluctuation risk of international tanker price index in theory, and fully understand its volatility. Therefore, it is very important to provide better theoretical basis for oil tanker transportation enterprises to carry out risk control. The stochastic volatility model is superior to the generalized autoregressive conditional heteroscedasticity (GARCH) model in describing the volatility characteristics of financial series. Therefore, this paper attempts to introduce SV model to describe the volatility and its characteristics of international tanker freight index. Combined with the extreme value theory of the generalized Pareto distribution GPD distribution, a dynamic VaR model is established to measure the volatility risk of the international tanker price index. The main contents are as follows:. First of all, the general situation, composition, calculation and main characteristics of the international tanker freight index are introduced. It is pointed out that the peak, thick tail, agglomeration, long memory and persistence of the fluctuation of the oil tanker price index are positive. The leverage effect of different responses is produced by negative shock, which lays a foundation for the comparative analysis of the later models. Secondly, three kinds of SV and GARCH models are introduced theoretically, that is, standard model, thick tail model and lever model. The MCMC method of SV model parameter estimation and the DIC criterion of model discrimination are discussed in detail. On this basis, a dynamic risk measurement model is established by combining the extreme value theory based on GPD and the VaR method, and the failure rate verification method for the applicability of the model is given. Finally, a certain number of BDTI and BCTI indices are selected for empirical research, SV model and GARCH model are constructed, and the two models are compared and analyzed, and the advantages of SV model in characterizing the fluctuation characteristics of tanker price index are pointed out. The conclusion that L-SV model is the optimal model and the GARCH-T model is optimal under the condition of T distribution is obtained. Then the L-SV model is used to calculate the final dynamic VaR value. The result of failure rate verification shows that the L-SV model can measure the fluctuation risk of tanker transportation market very well. It is especially suitable for the crude oil transportation market, and the fluctuation risk of the international crude oil transportation market is greater than that of the international refined oil transportation market.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F551;F224

【引證文獻】

相關碩士學位論文 前2條

1 梁瑋;上海出口集裝箱運價指數(shù)衍生品適用性及估價研究[D];上海交通大學;2013年

2 尹棟;國際油輪運輸市場的周期波動及預測[D];大連海事大學;2013年

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本文編號：1588460