The Risk Measurement Of International Tanker Freight Index Volatility

The financial crisis aggravated the slump of international economy, shipping market as the derivative market had not been able to get out, and the uncertainty increased. International tanker shipping market remained low all the time as an important branch of the transport market. Under the circumstance, introducing the risk management to the shipping market has the necessity extremely. Risk management is an effective tool to measure the financial risk. Through the process, researchers could know accurately about the market behavior and take action timely, which could reduce the operation risk widely. This article is based on this demand, at the background of tanker shipping market, discussing the international tanker freight index and studying the fluctuant features. At here we use the VaR model,famous risk analysis model, to measure the risk exist in the tanker shipping market. In order to make the results more accurate, several ways will be used to calculate VaR, and thus give recommendations for the shipping market participants. The main contents of this paper are as follows:First of all:Starting from the current situation of BDTI, analyzes the risk of the current BDTI and the factors affecting its volatility, after that indicate risk analysis is of great significance in today’s shipping market. Second:Introduce the model used in this paper briefly, which include risk measurement model, VaR-GARCH model, quantile regression model. Telling the basic principles of the model, as well as the applicability of the model, which is the theoretical basis for the study of later.Finally:Study the international tanker freight daily data. Analyzing the features of the data shows that the BDTI has a fat tail distribution, and there is the aggregation effect. A further study to calculate the VaR values with different approach, and test the model’s accurate. Based on the result, show out the reasons of differences exist in VaR values. In the empirical analysis based on the recommendation, some reasonal advises is given and the innovation of the study is pointed out at the end of the paper.