Risk Management of Forward Freight Agreement -A Method of Risk Measurement Based on the Non-parametric Kernel Estimation
Marine shipment is the major form of transportation of the trade worldwide. The most difficult aspect of it is to control and deal with is the fluctuation of the freight fare. As a result of risk in marine shipment, the freight fare fluctuates all the time. Particularly, the fluctuation frequency changes of tanker rates are the inherent risks of the international tanker market. Due to the BCTIs downward trend in oil price since the financial crisis in 2008, it is inevitable that great pressure is put on international trade companies in China. Marine derivatives have been created in order to control and manage the risks in marine transportation and FFA is now one of the most active tools. This article, which is based on non-parametric kernel estimation method with the data of two typical oil tanker routes, measures the FFA on the value of the VaR and outlines their hedging function. It also explains why this model is more reasonable than the normal distribution model by way of failure rate test.
FFA forward freight agreement non-parametric kernel estimation VAR
TIAN Zheng LIU Lifang
Transportation management collage, Dalian Maritime University, P.R.China, 116026
国际会议
威海
英文
337-345
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）