航运从业者在亲身经历了这样的事件之后，更加清晰地认识到
了运价的巨大波动是整个业内企业经营风险的集中体现。近几年来，
随着航运衍生品的不断发展，航运从业者可以有更多的选择进行企
业经营中的风险管理，即恰当地运用航运衍生品来进行运费的套期
保值交易，提前锁定利润或成本，起到了风险防范的作用。
本文简要介绍了目前市场上的航运衍生品的种类及其应用现
状，进一步讨论了航运企业如何运用远期运费协议(FFA)、运费期权
交易、集装箱掉期协议(CFSA)以及沿海煤炭运价衍生品交易进行运
费的套期保值的原理和案例，最后对上海出口集装箱运价指数的趋
势进行了回归拟合预测并且对于此指数的风险进行了实证分析和计
算。
本文的创新之处在于对于新版的上海出口集装箱运价指数进行
了趋势预测和风险的量化测量。所以本文的研究为航运企业的集装
箱运输风险规避提供了一定的参考价值。
关键词：航运衍生品，运价指数，风险规避，在险价值
ABSTRACT
The shipping industry has been a high-risk and low return industry. So in
recent years as the global economy change continually, the development of
China's shipping industry is also not very smooth. Shipping practitioners had
experienced the industry peak, i.e. sea freight increased by nearly 300
percent from 2003 to 2008, but soon after that, a global financial crisis swept
the shipping market at the end of year 2008 and the freight rates fell by nearly
100% from September 2008 to Nov.2008. Facing with such a large global
market risk, a number of shipping companies eventually did not escape the
doom of going bankruptcy.
After experiencing such a global financial crisis, shipping practitioners
could even more clearly recognize the enormous fluctuations of the freight
was a concentrated expression of the entire industry’s business risk. In recent
years, with the development of shipping derivatives, shipping practitioners
have more choices to manage company’s risk, i.e. appropriately use the
shipping derivatives to hedge freight risk. Through this method, they can lock
profits or cost in advance so that they can avoid risk in shipping industry.
This article briefly described the types of shipping derivatives market
and their application status. And we further discussed how shipping
companies can hedge freight risk by using forward freight agreements, freight
options, container freight swap agreement as well as china coastal coal
freight derivatives. Finally, we established regression model and forecasted
the freight index trend and its VaR value by using the Shanghai container
freight index.
The article provided the value of reference for shipping companies
focusing on container sea transportation to avoid industry risk. The innovation
of this paper is the forecast of index trend and the calculation of VaR for the
newly developed Shanghai container freight index by Shanghai shipping
exchange company in recent years.
KEYWORDS: Shipping derivatives, freight index, Risk averse, hedging, VaR
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