本文選題：油輪運輸市場 + 風(fēng)險管理��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：國際油輪運輸市場由于受到諸多不可控制因素的影響,屬于典型的高風(fēng)險行業(yè),而油輪的運價波動風(fēng)險是國際油輪運輸市場中的固有風(fēng)險,航運企業(yè)為了有效地對海運風(fēng)險進行控制而制定了多種應(yīng)對策略,在這一過程中,逐漸發(fā)展產(chǎn)生了航運金融市場--航運期貨市場。其中,遠期運費協(xié)議(FFA)是近幾年來發(fā)展起來的一種能夠有效地管理運價風(fēng)險的運費金融衍生品。這幾年,遠期運費協(xié)議在國外的應(yīng)用逐漸廣泛,交易量也迅猛增加,應(yīng)用于郵輪運輸市場也越來越多。然而,中國企業(yè)對遠期運費協(xié)議這一金融市場的參與度仍然比較有限,應(yīng)用于油輪運輸市場的更少之又少,同此同時,國內(nèi)企業(yè)對遠期運費協(xié)議的運作管理也不夠成熟。 為了了解遠期運費協(xié)議的操作規(guī)則并更深層次的發(fā)掘遠期運費協(xié)議的應(yīng)用潛力,本文選取了到目前為止在遠期運費市場上交易量最大而且最為活躍的原油TD3航線和成品油TC2航線進行實證分析,計算了現(xiàn)貨價格與遠期運費協(xié)議價格的相關(guān)系數(shù),從而發(fā)現(xiàn)現(xiàn)貨市場和遠期運費市場之間具有高度的相關(guān)性,具備運用遠期運費協(xié)議進行套期保值的基本條件。并且本論文重點利用現(xiàn)代套期保值理論模型,對遠期運費協(xié)議在這兩條航線上的套期保值效果進行了分析,計算出的套期保值績效指數(shù)證明了遠期運費協(xié)議具有較好的套期保值功能,可以達到管理運價波動風(fēng)險的目的. 鑒于以上論證加之對遠期運費協(xié)議的現(xiàn)狀和操作模式進行分析,得出應(yīng)用FFA帶來的優(yōu)點以及存在的不足從而給出建議即我國企業(yè)在參與遠期運費協(xié)議交易之前,要明確風(fēng)險管控的目標,制定科學(xué)合理的操作方式和方法,選擇合適的入市時機,深入了解市場、準確把握經(jīng)濟形勢,才能使遠期運費協(xié)議交易為企業(yè)的風(fēng)險管理做出更大的貢獻的參考性建議,最后指出了本文研究不足之處.
[Abstract]:The international tanker transportation market is a typical high risk industry due to the influence of many non control factors. The risk of oil tanker fluctuation is the inherent risk in the international tanker transportation market. In order to effectively control the shipping risk, shipping enterprises have developed a variety of coping strategies. In this process, the shipping enterprises have developed gradually. The shipping financial market, shipping futures market, the forward freight agreement (FFA) is a kind of freight financial derivatives which can effectively manage the risk of freight rate in recent years. In these years, the forward freight protocol has been widely used abroad, the volume of transaction is increasing rapidly, and more and more in the cruise market. At the same time, Chinese enterprises are not mature in the operation and management of the forward freight agreement.
In order to understand the operation rules of the forward freight agreement and explore the potential application potential of the forward freight protocol, this paper makes an empirical analysis of the largest and most active TD3 and TC2 routes in the forward freight market, and calculates the price of the spot price and the forward freight agreement. The correlation coefficient shows that there is a high correlation between the spot market and the forward freight market and the basic conditions for applying the hedging with the forward freight agreement. And this paper mainly uses the modern hedging theory model to analyze the hedging effect of the forward freight agreement on these two routes. The hedging performance index proves that the forward freight agreement has better hedging function and can achieve the purpose of managing the fluctuation risk of freight rate.
In view of the above argument and the analysis of the status and operation mode of the forward freight agreement, the advantages and disadvantages of the application of FFA are obtained. It is suggested that the enterprises in China should make clear the objectives of risk management before they participate in the forward freight agreement transaction, and make scientific and reasonable operation methods and methods to choose appropriate entry. The market opportunity, the thorough understanding of the market and the accurate grasp of the economic situation can make the forward freight agreement transaction a reference suggestion to make greater contribution to the risk management of the enterprise. Finally, it points out the shortcomings of this paper.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F279.2;F551;F224

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本文編號：1791688