The Risk Measure Of Tanker Forward Freight Agreements

Ocean freight is the concentrated reflection of shipping market risk, therefore, freight frequent fluctuations in international oil tanker is the inherent risk of the oil tanker transport market. In the past few years, tanker freight index has been fluctuating, oil freight index are reflected in the BDTI and BCTI. The highest BDTI up to 2347 points, the minimum to 453 points and then the highest point of BCTI is 1509, the lowest point is 345.2008 financial crisis later, the oil tanker freight index has been in a down state, this has undoubtedly brought unprecedented pressure to the import and export trade enterprises of China, it was still in recovery up to now.Fluctuations in ocean freight bring business risks to the shipping operators, in order to carry out effective risk management, resulting in a series of maritime derivatives. And came into the forward freight agreements (FFA) is currently one of the most active shipping risk management tools, but as a risk management tool it also has certain risks. In such cases this paper describe in detail the definition, the origin and development, trading, trading characteristics and other market situation of FFA, but also I have a relatively clear understanding of the oil tankers and freight transport market, Combined with forward freight agreements, descriping the tanker forward freight agreements.Then this is the main work that proposing a quantitative method to measure the VaR risk of oil tanker forward freight agreements. In this paper, I proposed many calculation methods, from the normal distribution parameter estimation, nonparametric estimation historical simulation method, Monte Carlo simulation, based on the non-parametric kernel estimation method to calculate the risk of oil tanker forward freight agreements.In the empirical part I choose the two typical tanker route, respectively measure their VaR of FFA with these four methods. And then use a failure rate of test method to validate the various models validity, confirmed that the non-parametric kernel estimation model is more reasonable and more practical than the other models. This makes it easy Shipping market participants use FFA to avoid the maritime risk easy and skilled.Finally, we draw some conclusions for the research component and make the prospects for future work.