浅析我国企业应如何运用FFA对国际油轮运价波动进行风险控制

【作者】 黄芳；

【导师】 杨青；

【作者基本信息】 复旦大学 ， 金融学， 2012， 硕士

【摘要】 国际油轮运输市场由于受到诸多不可控制因素的影响,属于典型的高风险行业,而油轮的运价波动风险是国际油轮运输市场中的固有风险,航运企业为了有效地对海运风险进行控制而制定了多种应对策略,在这一过程中,逐渐发展产生了航运金融市场--航运期货市场。其中,远期运费协议(FFA)是近几年来发展起来的一种能够有效地管理运价风险的运费金融衍生品。这几年,远期运费协议在国外的应用逐渐广泛,交易量也迅猛增加,应用于邮轮运输市场也越来越多。然而,中国企业对远期运费协议这一金融市场的参与度仍然比较有限,应用于油轮运输市场的更少之又少,同此同时,国内企业对远期运费协议的运作管理也不够成熟。为了了解远期运费协议的操作规则并更深层次的发掘远期运费协议的应用潜力,本文选取了到目前为止在远期运费市场上交易量最大而且最为活跃的原油TD3航线和成品油TC2航线进行实证分析,计算了现货价格与远期运费协议价格的相关系数,从而发现现货市场和远期运费市场之间具有高度的相关性,具备运用远期运费协议进行套期保值的基本条件。并且本论文重点利用现代套期保值理论模型,对远期运费协议在这两条航线上的套期保值效果进行了分析,计算出的套期保值绩效指数证明了远期运费协议具有较好的套期保值功能,可以达到管理运价波动风险的目的.鉴于以上论证加之对远期运费协议的现状和操作模式进行分析,得出应用FFA带来的优点以及存在的不足从而给出建议即我国企业在参与远期运费协议交易之前,要明确风险管控的目标,制定科学合理的操作方式和方法,选择合适的入市时机,深入了解市场、准确把握经济形势,才能使远期运费协议交易为企业的风险管理做出更大的贡献的参考性建议,最后指出了本文研究不足之处.更多还原

【Abstract】 Because of lots of factors, the international tanker market is one of the typical of high-risk industries. And the fluctuation of this freight is one of the inherent risks of the tanker markets. In order to effectively control the risks of shipping, shipping companies have developed a variety of strategies. Gradually, freight futures market is produced. Among them, the Forward Freight Agreement (FFA) is a recently developed shipping freight derivatives which can effectively manage the risk of freight fluctuation. In recent years, FFA has gradually been widely applied. There is also a rapid increase in the trading volume. However, the participation of Chinese enterprises in the FFA market is still relatively limited, and even less in the tanker market. What is more, the operation and management of the FFA are not matured enough.In order to explore FFA’s potential impact in managing risks of the tanker freight fluctuations, there are two typical routes TD3and TC2are chosen to be researched in this paper. These two routes are the most actively routes and also the highest trading volume of the world. The calculations of the correlation between the spot price and the FFA price have been done in the paper. It is been found that there are highly associated between the spot market and the long-term freight market, which is a basic condition for hedging. This article mainly focused on researching into FFA’s effects of hedging using the modern theoretical model of hedging. The hedging performance index proved that FFA has a good hedge function.According to above analysis and study of status of FFA and operation, we get the advantage and disadantage of FFA and give our suggestion, which is before participating in the FFA transaction, domestic companies need make the objn ective of risk management clear and once there are scientific and rational ways, domestic companies should chose the right time to enter the market, in-depth understanding of the market and accurately grasp the economic situation. And then the FFA trading will make a great contribution to risk management of the enterprise.Further more, the disadvantage of the paper is indicated in the last, which need improve in the future.更多还原