| 基于风险价值模型的航运指数期货风险测度 |
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| 引用本文： | 刘萍,赵一飞.基于风险价值模型的航运指数期货风险测度[J].上海海事大学学报,2010,31(2):80-83. |
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| 作者姓名： | 刘萍 赵一飞 |
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| 作者单位： | 上海交通大学,船舶海洋与建筑工程学院,上海200240 |
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| 摘 要： | 引进金融领域广泛应用的风险价值(Value at Risk, VaR)模型,利用极值理论(Extreme Value Theory, EVT),计算出极端市场条件下的VaR,以此来衡量航运指数期货发生的损失和概率.以P3A航线的远期运费协议(Forward Freight Agreements,FFA)结算价格为案例,说明方法的操作过程.检验结果表明,该方法有效.
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| 关 键 词： | 航运指数期货 风险价值 极值理论 广义帕累托分布 |
| 收稿时间： | 2009/11/23 0:00:00 |
| 修稿时间： | 2010/2/10 0:00:00 |
Risk measurement of shipping index future based on VaR model |
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| LIU Ping,ZHAO Yifei.Risk measurement of shipping index future based on VaR model[J].Journal of Shanghai Maritime University,2010,31(2):80-83. |
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| Authors: | LIU Ping ZHAO Yifei |
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| Institution: | Shanghai Jiaotong University School of Naval Achitecture,Ocean and Civil Engineering |
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| Abstract: | The model of Value at Risk(VaR) is introduced which is widely applied in the financial field. The Extreme Value Theory(EVT) is used to calculate VaR under the extreme market conditions to mea sure the loss and its probability of shipping index future. Forward Freight Agreements(FFA) settlement price of P3A route is taken as an example to illustrate the operation of this method. The result shows that the method is effective. |
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| Keywords: | shipping index future value at risk extreme value theory general Pareto distribution |
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