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船舶融资租赁的风险管理研究
Research on Risk Management of Ship Financial Leasing
【作者】 沈隽；
【导师】 胡昊；
【作者基本信息】 上海交通大学 ， 交通运输规划与管理， 2010， 硕士
【摘要】 随着国际贸易的飞速发展以及航运中心和金融中心建设的推进,我国的船舶融资租赁业务将越来越受到重视。然而,目前相关企业的风险管理能力较弱,缺乏现代的风险管理工具和体系。同时,针对船舶的融资租赁方面研究也仍然停留在法律合同和定性分析上。因此,参考借鉴其他领域的风险管理方法,能够很好的解决船舶融资租赁进一步发展的瓶颈,对推动整体行业的发展具有重要意义。本文首先对船舶融资,特别是融资租赁的现状作了介绍。其次,本文对风险管理理论进行了综述,并重点介绍了现代风险管理理论。在此基础上,从船舶融资租赁公司的角度出发,建立了船舶融资租赁的全面风险管理(ERM)体系,并提出了应用ERM体系初期的评估方法。该方法基于船舶融资租赁的特性,对现有的现代风险管理理论进行了调整,提出了有针对性的全面风险计量评估模型体系,包括VaR结合GARCH(1,1)模型的利率、汇率风险评估方法、VaR结合多元线性回归方法的特殊信息风险计量方法。最后,通过敏感性分析和财务测算模型将各风险汇总评估,并将整个风险评估体系进行了案例分析计算。本文对融资租赁企业加强风险管理具有参考作用,进一步完善后可实际应用。
【Abstract】 With the rapid development of international trade, as well as shipping center and financial center goning forwards, ship financial leasing business in China will catch more and more attention. However, the current capacity of the enterprises’risk management is weak, and lack modern risk management system. Meanwhile, the study in ship financial leasing also remains stuck in legal contracts and qualitive analysis. Therefore, it is helpful to draw on the risk management methods from other academic field for further development of ship financial leasing business, which will significantly promote the overall development of the industry.In this paper, ship financial leasing, in particular the current development of financial leasing, were introduced. Secondly, this paper reviewed the risk management theory and put much focus on introducing the modern risk management theory. On this basis, from ship financing leasing company’s point of view, a comprehensive risk management system (ERM) of ship financial leasing was established and a method for application of ERM system in intial period was proposed. Based on the characteristics of ship financial leasing, according to which the method made some adjustment upon the existing theory of the modern risk management, proposed a specific risk assessment model, including VaR with GARCH (1,1) model of interest rates, exchange rate risk assessment methods, VaR with multiple linear regression for specific information risk measurement. Finally, sensitivity analysis and financial models were used for the assessment of compiled overall-risk, and case analysis and calculation were carried out under the whole risk assessment system, in order to offer the financial leasing companies a method to perform the risk management.