Ανάλυση κινδύνου σε αποδόσεις μετοχών εισηγμένων ναυτιλιακών εταιριών
Risk analysis in stock returns of listed shipping companies
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Subject
Ναυτιλιακή οικονομική ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Ναύλωση και ναύλος ; Ναυτιλιακές επιχειρήσειςAbstract
This thesis presents the concept of Risk as it is obtained by the Value-at-Risk (VAR) method. This technique provides the user with the worst expected loss of an asset that may happen for a given horizon at a given confidence level. More specifically, in the first chapter it is presented the risk generally with some basic forms of risk that all businesses have to deal with, the management of risk and also the specific risks that marine companies need to deal with along with the measures that they take in this direction. Furthermore, in the second chapter it is given some general information about marine industry, like a quick historic review and special characteristics of marine businesses, and also the Greek shipping industry along with its important contribution to the Greek economy. The third chapter presents the time series analysis, the heteroskedasticity models (ARCH-GARCH) and the VAR analysis. Finally, in the fourth chapter the VAR method is applied in marine companies stocks having in their fleet ferries in order to determine risk not only on an individual basis but also in a marketwise basis.