The Research Of VaR Application In Finance Derivatives Market Of Shipping Industry

There are more and more Chinese companies participate in the international shipping market recently years. Because the Dry Bulk shipping industry is almost a complete compete market,the freight can change 20% within a week. This huge fluctuation means extreme risk to both ship owners and freight owners,furthermore,the Dry Bulk itself(e.g. iron ore,coal,farm produce etc.)has low value and that make freight more important. Because the huge risk, risk control with the Finace Derivatives tools is urgent to the shipping industry.Along with the development of Finance Investment and Econometrics, many Risk Management methods are invented. This article introduce themainstream method--VaR(Value at Risk) in detail and analyze theshipping industry data to find a suitable method and math model which can apply to the shipping industry. This article take 2000 trading days from 1998.7.8 to 2006.6.29 as research object, apply Variance-Covariance method and EGARCH math model to do a experiment. Finally,this article get a conclusion from the experiment,give some advise to the international shipping practitioners and testify it' s feasible to manage the risk of Finance Derivatives Market of Shipping Industry with VaR method.