유가 불확실성과 해운기업의 리스크 관리에 관한 연구
A Study on the Modeling the Uncertainty of Oil Price and Risk Management in Shipping Industry
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In this paper, we propose the methodology to quantify financial risk resulted from the uncertainty of future oil price, that is one of main resources of financial risk in shipping industry. We highlight on the cash flow since it has significant effect on to the future liquidity in shipping industry. We employ diffusion process, diffusion process with GARCH model and jump diffusion process to model the dynamics of spot oil price. The main contributions of this paper is summarized as follows. At first, we argue the limitation of VaR (value at risk) which is widely used in shipping industry and propose an alternative risk measure, that is CFaR (cash flow at risk). We conduct sensitivity analysis to quantify the impact of unpredictable oil shock and we show that CFaR increases at leat twice times comparing to normal condition. Finally, we suggest how to monitor and use CFaR for business planning in shipping industry.
Abstract
In this paper, we propose the methodology to quantify financial risk resulted from the uncertainty of future oil price, that is one of main resources of financial risk in shipping industry. We highlight on the cash flow since it has significant effect on to the future liquidity in shipping industry. We employ diffusion process, diffusion process with GARCH model and jump diffusion process to model the dynamics of spot oil price. The main contributions of this paper is summarized as follows. At first, we argue the limitation of VaR (value at risk) which is widely used in shipping industry and propose an alternative risk measure, that is CFaR (cash flow at risk). We conduct sensitivity analysis to quantify the impact of unpredictable oil shock and we show that CFaR increases at leat twice times comparing to normal condition. Finally, we suggest how to monitor and use CFaR for business planning in shipping industry.
참고문헌 (11)
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