Υπολογισμός της αξίας σε κίνδυνο σε ναυτιλιακές αγορές
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Keywords
Ναύλωση και ναύλος ; Ναυτιλιακή αγορά ; Αξία σε κίνδυνο ; Αναμενόμενη απώλεια ; Ναυτιλιακά futures ; Baltic Exchange ; EWMA ; GARCH ; CME Group ; EGARCH ; HS ; MA ; Expected shortfall ; Freight futures ; Value at Risk ; Freight markets ; Freight ratesAbstract
Measuring the market risk caused by the high volatility of freight rates is of great importance to the participants in freight markets, ship owners, charterers or investors. We measure this risk by calculating Value at Risk. We apply a range of parametric and non-parametric methods for the most important Baltic Exchange indices and for a set of freight futures issued by CME Group. More specifically, the methods used are the Historical Simulation (HS) and Moving Average (MA) for two sample sizes, Exponentially Weighted Moving Average (EWMA), GARCH (1,1) and EGARCH (1,1) with normally and Student’s-t distributed innovations. We perform backtesting in two stages. Firstly, we apply three statistical likelihood tests and secondly a loss function that uses Expected Shortfall. We find that the simplest parametric and non-parametric methods are the most suitable to measure market risk in freight markets.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
98Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές