Study On The Dependence Between Time Charter Market And FFA Market Of Dry Bulk Shipping And Risk Application

T/C market and FFA market of dry bulk shipping are two important forward freight markets,both of which are major choices of shipping companies to manage risk of spot freight market.Under the need of theory and practice,the paper studies the degree and features of dependence between T/C market and FFA market of dry bulk shipping,then applies the results of dependence to forecast total risk of two markets based on the situation that one shipping company operates at two markets simultaneously,and analyzes the impact of dependence on risk forecast.The paper chooses copula to study the dependence between two markets.Firstly,establish marginal model of T/C freight and FFA price of dry bulk shipping regarding their features,introduce GH distribution family to describe their distribution characteristics and EGARCH model to describe their volatility.After that,create optional copula collection to describe dependence structure including five copulas from elliptical copula fmily and Archimedean copula family and one mixture copula established by the paper.Finally,choose the best copula model by hypothesis test and calculate dependence results.The paper studies both static and dynamic dependence,empirical study shows that dependence between two markets is strong,asymmetrical and time-varying.The paper combines established copula model and VaR to apply dependence results to risk forecast.The paper studies the total market risk of two markets,and chooses the minimal total market return of two markets in the future as risk indicator.Design different scenarios with dependence constraint and without dependence constraint to forecast risk and analyze impact of dependence on risk forecast by failure rate test.The empirical study shows that risk forecast with dependence constraint is more accurate and conserved than risk forecast without dependence constraint for two closely connected markets.The paper provides reference for shipping companies to operate at two markets,and the set of systematic study method for the problem in the paper can provide method choice for shipping companies when they quantitatively analyze connection between several forward freight markets and forecast total market risk of closely connected markets.