基于风险价值模型的干散货二手船交易风险测度  

Risk measurement of dry bulk secondhand ship transaction based on value at risk model

作　　者：陈莉[1] 王学锋[1] 郑士源[1] 

机构地区：[1]上海海事大学交通运输学院,上海201306

出　　处：《上海海事大学学报》2012年第4期57-63,共7页Journal of Shanghai Maritime University

基　　金：国家社会科学基金青年基金(11CGL077);2012年度上海市政府决策咨询研究热点课题--基地工作室专项(2012-GR-14);上海海事大学校基金(20120112);上海海事大学研究生创新基金(yc2010023)

摘　　要：基于干散货二手船交易市场的波动性和交易风险一直备受船舶所有人、投资者、银行和造船厂的关注,通过基于广义误差分布的自回归条件异方差(Generalized AutoRegressive Conditional Heteroskedasticity based on General Error Distribution,GARCH-GED)模型计算得到二手船价波动率,运用风险价值和损失期望值模型计算出一定置信水平下二手船交易的最大损失及损失的期望值.以5年期的干散货好望角船二手船价进行实证分析,结果表明,上述方法能量化交易风险,有助于交易决策和风险控制.Because the volatility and risk of dry bulk secondhand ship transaction are always of concern to ship owners, investors, banks and shipyards, the price volatility of secondhand ship is calculated by the model of Generalized AutoRegressive Conditional Heteroskedasticity based on General Error Distribution （GARCH-GED） , and the maximum loss and expected shortfall of secondhand ship transaction in diverse probability levels are calculated by the value at risk model and the expected shortfall model. The price of 5-year dry bulk CAPESIZE secondhand ship is used for empirical study, which shows that the method can quantify the transaction risk, which is of benefit for decision-making and risk control.

关 键 词：二手船 价格波动率 风险价值模型 损失期望值模型 风险测度 

分 类 号：U674.134[交通运输工程—船舶及航道工程] F713.56[交通运输工程—船舶与海洋工程]