The Applicabilition Of Var Constrained Portfolio Model In Avoiding Freight Risks

In recent years, ship owners and even big shippers actively invested in the bulk shipping market, dry bulk capacity explosive growth in the investment process, and the trend of the phenomenon was serious, and there is no reasonable assessment of different ship dry bulk market volatility risk when they made invest decision-making. The international shipping industry suffered heavy losses from financial crisis. A lot of companies make ends meet, facing losses or even bankruptcy situation when serious excess capacity happens. How to measure the risk of a variety of ship dry bulk market and make a reasonable and correct investment decisions, to effectively avoid the freight rate volatility risk, has become an urgent problem.International dry bulk shipping market include three markets:the capesize market, the Panamax market,and the Handymax market. Each of the three ship-type markets has its own waving feature because of their different characteristics, so that shipping company can make portfolio investment to achieve stable income and risk-averse. This paper focuses on the comparative analysis of the capesize market, the Panamax market, Handymax market, and measure the three ship bulk market VaR values by the using of VaR mode, and make the best combination of the three major markets investment by using the portfolio model under the constraint of VaR ratio, thus achieve risk aversion and maximize the return.The thesis firstly introduces general dry bulk shipping market and review the market. Then there comes the three ship-type dry bulk shipping market including the definition, the shipping routes, based on analysis of three ship market characteristics; then introduce VaR method in detail then create EGARCH-M model based GED distribution in order to improve the traditional GARCH model; followed by brief introduction to portfolio theory, expounded the benefits and risks of the portfolio and asset combination model; followed by use of the EGARCH-M model based on the GED distribution to a quantitative measurement of market risk, calculate VaR value for each market; Finally, use the portfolio model under the constraint of VaR obtaining in three ship dry bulk market portfolio. Thus concluded that under the constraint of VaR portfolio model, the risk of shipping companies can effectively control and the ability to obtain a higher average income.