摘要
航运市场的不稳定性是产生运费率风险的主要原因.这种风险足以使投资者对航运业望而却步.基于这一事实,航运业需要采取有效策略以控制潜在的运费风险.降低运费风险可靠有效的措施就是使用金融衍生工具.解释作为金融衍生工具的运费期货为何可以很好地规避风险,从而航运部门可以使用金融衍生工具来对冲运费率风险.由于作为现货和期货价格不同点的基差和价格一样具有风险,有必要对套期保值战略进行阐述.在利用套期保值规避风险时可能会出现超额避险的情况,可以通过使用最小方差套期保值比率(Minimum Variance Hedge Ratio,MVHR)来避免超额避险.
Volatility of shipping market is a central source of freight rate risks. Such risks can make investors give up operation in the industry. Based on this fact, the shipping industry requires effective strategies to manage the risks. The reliable and effective strategies are financial derivative instruments. How futures strategies as financial derivative instruments can effectively avoid risks is explained. Thus, financial derivative instruments can be used by shipping sector to hedge freight rate against risks. The basis as the difference of spot and futures prices as well as price has risks embedded in them, it is imperative to study hedging strategy in view of the basis. However, it is observed that naive hedging has a possibility of containing an overhedge value. The overhedge value is avoidable using the Minimum Variance Hedge Raio （ MVHR）.
出处
《上海海事大学学报》
北大核心
2013年第2期57-62,74,共7页
Journal of Shanghai Maritime University
基金
Foundation Project of Shanghai Maritime University(2008439)
