本文選題：期租合同 + 違約風險　； 參考：《大連海事大學》2012年碩士論文

【摘要】：后金融危機時代,國際貿(mào)易增長速度依然緩慢,嚴重依賴于國際貿(mào)易的航運市場經(jīng)濟依然處于低谷時期,持有市場高峰期簽訂的期租合同的船舶經(jīng)營人都面臨著虧損破產(chǎn)的風險,部分船舶承租人因企業(yè)虧損破產(chǎn)或不愿再承受高額虧損的風險而發(fā)生違約行為,導致期租合同不能有效履行,這對船舶出租人造成了巨大的損失,因此對期租合同違約風險進行有效的測度變得非常意義。 通過定性分析,認為期租合同違約風險受到即期市場運價、船舶承租人資產(chǎn)狀況、期租合同期限長短的影響。借鑒評測利率互換違約風險的結構化模型,引申利率期限結構的應用,利用租期期限與遠期租金率之間的關系,建立運價期限結構模型：引申利率互換違約期權價值的定義,建立期租合同市場價值模型,有效評估期租合同價值隨即期市場運價變化的數(shù)量關系；通過設立違約行為觸發(fā)機制,建立期租合同違約風險溢價評測模型；同時,建立即期市場運價隨機波動模型,來對即期市場運價進行模擬仿真,以助于實現(xiàn)對違約風險溢價模型的可行性檢驗；最后,通過設計相應的算法路徑,利用蒙特卡洛模擬方法模擬仿真即期市場運價,運用matlab軟件對違約風險溢價模型進行仿真估計,得到違約風險溢價受即期市場運價、租期期限、承租人資產(chǎn)狀況的影響變化關系。 通過分析可知,運用建立的運價期限結構,可以有效的計算期租合同的市場價值,期租合同違約風險溢價的測度模型是有效可行的,結果表明,期租合同違約風險溢價是隨時間變化的,同時受到租期期限、簽訂期租合同時的即期市場運價、承租人資產(chǎn)狀況的影響,隨租期期限越來越長,違約風險溢價越來越大,隨簽訂期租合同時即期市場運價越高,違約風險溢價越高,承租人資產(chǎn)儲備越高,違約風險溢價越小。船舶出租人可以通過本文的研究結果,調(diào)整簽訂期租合同的租金率來彌補違約風險的損失。
[Abstract]:In the post-financial crisis era, the growth rate of international trade is still slow, and the shipping market economy, which is heavily dependent on international trade, is still at a low point. The shipowner who holds the term charter contract signed during the peak period of the market is facing the risk of loss and bankruptcy. Some ship charterers have defaulted because of the loss of the enterprise or their unwillingness to bear the risk of high losses. As a result, the term charter contract can not be effectively performed, which has caused a huge loss to the shipowner, so it is very important to measure the risk of breach of contract effectively. Through qualitative analysis, it is concluded that the risk of breach of contract is affected by spot market price, asset status of charterer and duration of term charter contract. Based on the structured model of evaluating the default risk of interest rate swaps, the application of term structure of interest rate is extended, and the relationship between term of lease and forward rent rate is used to establish the term structure model of freight rate: the definition of default option value of interest rate swap. Establishing the market value model of term rent contract, effectively evaluating the quantitative relationship of the change of market freight rate in the immediate period contract value; establishing the risk premium evaluation model of default risk of term rent contract by setting up the triggering mechanism of breach of contract; at the same time, setting up the risk premium evaluation model of contract breach of term rent contract. Establish the spot market price stochastic fluctuation model to simulate the spot market price in order to help to achieve the default risk premium model feasibility test; finally, through the design of the corresponding algorithm path, Monte Carlo simulation method is used to simulate spot market price and matlab software is used to estimate default risk premium model. The influence of the lessee's property status. Through the analysis, we can know that the market value of the term rental contract can be calculated effectively by using the established freight rate term structure, and the measuring model of the default risk premium of the term rent contract is effective and feasible. The result shows that, The default risk premium of term lease contract changes with time, and is affected by the term of lease, the spot market freight rate when signing the term lease contract, the condition of the lessee's assets, and the risk premium of breach of contract becomes larger and larger with the increase of the term of lease. With the signing of term lease contract, the higher the spot market price, the higher the default risk premium, the higher the lessee's asset reserve, the smaller the default risk premium. The shipowner can make up for the loss of default risk by adjusting the rental rate of the contract.
【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;F224

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