联系我们

论文查询结果	返回搜索

论文编号：	9368
作者编号：	2120150200
上传时间：	2017/6/20 20:10:56
中文题目：	天津集装箱远期运费协议设计研究
英文题目：	Research on the Design of Tianjin Container
指导老师：	杨静蕾
中文关键字：	集装箱运费衍生品；远期运费协议；保证金水平；在险价值法
英文关键字：	container freight derivatives; Forward Freight Agreement (FFA);
中文摘要：	自二十世纪以来，航运业一直是全球经济的支柱产业，是影响全球经济健康发展的重要因素，而航运业的发展受制于多种风险，包括财务风险、经营风险、利率风险和政策风险等。航运运费衍生品应运而生，它可以帮助航运市场参与者有效规避运费波动带来的风险。目前，国际航运市场集装箱运输量占全球航运贸易量的比重逐年攀升。相比其他常见船型，集装箱船运输则面临着更大的运费波动风险，集装箱运费衍生品对航运业的繁荣发展必不可少。上海出口集装箱中远期运价交易的开发填补了集装箱运费衍生品市场的空白，但自推出以来便饱受业界争议，人们对于该远期市场套期保值功能的发挥和潜在风险的大小仍是众说纷纭。 本文针对集装箱运费衍生品发展现状，对天津集装箱运费衍生品市场需求进行调查。根据航运公司和专业人士的问卷调查结果发现天津集装箱运费衍生品是有需求潜力的，并且根据调查得出航运公司较为关注衍生品协议的交易条款对交易市场的风险和流动性的影响。所以，本文将天津集装箱远期运费协议的 12 个条款按照对市场的交易风险和流动性的影响程度分为三类，分别为基本条款、控制交易风险相关条款和市场流动性相关条款，进而对其进行初步设计。 此外，本文搭建天津集装箱远期运费协议模拟交易平台对初步设计的协议进行模拟和改进，因为模拟交易发现保证金水平的静态设置无法完全满足控制交易风险和保证市场流动性的需求，进而对保证金水平的设置方法进行了重点讨论，得出使用在险价值进行保证金水平的动态设置可以对交易风险和市场流动性进行双向控制。最终得出天津集装箱远期运费市场的协议，期望为未来天津开展集装箱远期运费协议市场提供参考。
英文摘要：	The shipping industry has been the pillar industry of global economy and affected the healthy development of global economy since twentieth century. The development of shipping industry is subject to a variety of risks including financial risk, operational risk, interest rate risk, policy risk and so on. Shipping freight derivatives came into being which can help participants to avoid the risk of freight price fluctuations. At present, the proportion of container shipping in the international shipping market is increasing. Compared with other common shipping, container shipping is facing greater risk of price fluctuation. Therefore, container freight derivatives are essential to prosper and develop shipping industry. The Export Container Forward Freight Agreement in Shanghai is the first container freight derivatives in China, but it has been controversial since launching. People have different views about it’s market hedging function and potential risk. This thesis investigates the trading demand of Tianjin container freight derivatives market based on the present development situation of container freight derivatives. According to the questionnaire of shipping companies and professionals, Tianjin container freight derivatives is worth to carry out and transaction risk and market liquidity are the important factors of derivatives which shipping companies care about. Therefore, the twelve clauses of Tianjin Container Forward Freight Agreement are divided into three categories which are the basic clauses, clauses of controlling transaction risk and clauses of ensuring market liquidity according to the influence degree of risk and liquidity of the market, and then the agreement is designed initially. In addition, this thesis builds simulation trading platform of Tianjin Container Forward Freight Agreement to improve the designed agreement. We find static margin level can’t fully control transaction risk and ensure the liquidity of the market demand simultaneously through simulation. Therefore, the method of setting margin level is discussed, and the conclusion is setting dynamic margin level through Value at Risk. Finally, the Tianjin Container Forward Freight Agreement this paper provided is expected to provide reference for the further development of Tianjin container freight derivatives.
查看全文：	预览  下载(下载需要进行登录)