English, Article edition: MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH TIMOTHEOS ANGELIDIS; GEORGE SKIADOPOULOS

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/83145
Physical Description
  • article
Language
  • English

Edition details

Title
  • MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH
Author
  • TIMOTHEOS ANGELIDIS
  • GEORGE SKIADOPOULOS
Physical Description
  • article
Notes
  • The fluctuation of shipping freight rates (freight rate risk) is an important source of market risk for all participants in the freight markets including hedge funds, commodity and energy producers. We measure the freight rate risk by the Value-at-Risk (VaR) approach. A range of parametric and non-parametric VaR methods is applied to various popular freight markets for dry and wet cargoes. Backtesting is conducted in two stages by means of statistical tests and a subjective loss function that uses the Expected Shortfall, respectively. We find that the simplest non-parametric methods should be used to measure freight rate risk. In addition, freight rate risk is greater in the wet cargoes markets. The margins in the growing freight derivatives markets should be set accordingly.
  • Backtesting, expected shortfall, forward freight agreements, freight markets, freight rates, Value-at-Risk
  • RePEc:wsi:ijtafx:v:11:y:2008:i:05:p:447-469
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment