本文選題：巴拿馬型船舶 + 干散貨運(yùn)輸��； 參考：《大連海事大學(xué)》2013年碩士論文

【摘要】：國際干散貨航運(yùn)市場是資金密集型、高度專業(yè)化并且充滿風(fēng)險(xiǎn)的市場。受到國際政治、經(jīng)濟(jì)、軍事、法律等因素影響,干散貨航運(yùn)市場波動十分劇烈。2008年世界經(jīng)濟(jì)危機(jī)前,由于運(yùn)價(jià)持續(xù)走高和樂觀的市場情緒而引發(fā)了典型的市場順周期性,大量船東跟風(fēng)造船。經(jīng)濟(jì)危機(jī)發(fā)生后,國際經(jīng)濟(jì)衰退,運(yùn)力嚴(yán)重過剩,運(yùn)價(jià)長期低迷使航運(yùn)業(yè)遭受重大打擊,很多船東面臨虧損倒閉危險(xiǎn)。因此,如何對航運(yùn)市場的風(fēng)險(xiǎn)進(jìn)行定量的度量,從而幫助企業(yè)進(jìn)行科學(xué)有效的風(fēng)險(xiǎn)管理就成為了航運(yùn)企業(yè)經(jīng)營風(fēng)險(xiǎn)管理的核心議題之一。 國際干散貨運(yùn)輸市場中,載重量為6.5-8萬噸左右的巴拿馬型船舶是十分具有代表性的船型。本文以巴拿馬型干散貨運(yùn)輸市場運(yùn)價(jià)風(fēng)險(xiǎn)作為研究對象,通過定量分析為主、結(jié)合定性分析的方法,建立了基于VaR-GARCH的風(fēng)險(xiǎn)度量模型,對市場風(fēng)險(xiǎn)進(jìn)行研究。本文主要研究內(nèi)容如下： 首先,本文從國際干散貨運(yùn)輸市場、巴拿馬型船干散貨運(yùn)輸市場供求情況和巴拿馬型船運(yùn)輸價(jià)格分析這三個(gè)方面對巴拿馬型船干散貨運(yùn)輸市場概況進(jìn)行了介紹。在對巴拿馬型船散貨運(yùn)輸?shù)拇�、航線和貨種的定義的基礎(chǔ)上,通過對數(shù)據(jù)的分析,對巴拿馬型干散貨運(yùn)輸市場的供求現(xiàn)狀及特點(diǎn)、影響運(yùn)價(jià)的因素進(jìn)行了簡要總結(jié)；其次,本文介紹了VAR風(fēng)險(xiǎn)度量模型,包括其計(jì)算步驟和建模,并介紹了VaR-GARCH模型,為本文研究所用的數(shù)學(xué)模型奠定理論基礎(chǔ)；隨后對巴拿馬型船國際干散貨運(yùn)輸進(jìn)行了實(shí)證分析,包括對統(tǒng)計(jì)數(shù)據(jù)的收集和描述性統(tǒng)計(jì)分析,正態(tài)性、平穩(wěn)性、自相關(guān)型檢驗(yàn)等；通過模型計(jì)算得出巴拿馬型干散貨運(yùn)輸市場的VaR值,并對結(jié)果進(jìn)行了分析和檢驗(yàn)。最后,在前文分析和計(jì)算基礎(chǔ)上,本文對航運(yùn)企業(yè)改善巴拿馬型干散貨運(yùn)輸風(fēng)險(xiǎn)管理提出了一些參考建議,并指出了研究的不足之處。
[Abstract]:The international dry bulk shipping market is a capital-intensive, highly specialized and risky market. Influenced by international political, economic, military, legal and other factors, the dry bulk shipping market fluctuates very violently. Before the 2008 world economic crisis, a typical pro-cyclical market was triggered by continued high freight rates and optimistic market sentiment. A large number of shipowners follow suit in building ships. In the wake of the economic crisis, the international economic recession, heavy overcapacity, a prolonged downturn in freight rates have hit the shipping industry hard, and many shipowners are at risk of losing money and closing down. Therefore, how to measure the risks of shipping market quantitatively and help enterprises to carry out scientific and effective risk management has become one of the core issues of management risk management of shipping enterprises. In the international dry bulk transport market, Panamanian ships with a deadweight of about 65 to 8 thousand tons are very representative. This paper takes the price risk of Panamanian dry bulk transportation market as the research object. Through quantitative analysis and qualitative analysis, a risk measurement model based on VaR-GARCH is established to study the market risk. The main contents of this paper are as follows: Firstly, this paper introduces the international dry bulk transportation market, the supply and demand situation of Panamanian dry bulk cargo transport market and the price analysis of Panamanian ship dry bulk transport market. On the basis of the definition of the ship type, route and type of bulk cargo transportation on Panamanian type ship, through the analysis of the data, the present situation and characteristics of supply and demand of the Panamanian dry bulk cargo transportation market and the factors influencing the freight rate are summarized briefly. This paper introduces the VAR risk measurement model, including its calculation steps and modeling, and introduces the VaR-GARCH model, which lays a theoretical foundation for the mathematical model used in this paper. Including the collection of statistical data and descriptive statistical analysis, normality, stationarity, autocorrelation test, etc. The VaR value of Panama dry bulk transportation market is calculated by model, and the results are analyzed and tested. Finally, on the basis of the above analysis and calculation, this paper puts forward some reference suggestions for shipping enterprises to improve the risk management of Panamanian dry bulk cargo transportation, and points out the deficiencies of the research.
【學(xué)位授予單位】：大連海事大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F551;F224

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本文編號：1928167