| Preface to the second edition |
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xvii | |
| Preface to the first edition |
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xxiii | |
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xxix | |
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1 Introduction to the shipping markets and their empirical regularities |
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1 | (29) |
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1 | (1) |
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1.2 Market segmentation of the shipping industry |
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1 | (8) |
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1.2.1 General cargo and bulk cargo movements |
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2 | (2) |
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1.2.2 Bulk-cargo segmentation |
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4 | (3) |
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1.2.3 General (dry) cargo segmentation |
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7 | (2) |
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1.3 Market conditions in shipping freight markets |
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9 | (1) |
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1.4 Equilibrium freight rates in tramp freight markets |
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10 | (15) |
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1.4.1 Freight rates for different duration contracts |
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13 | (3) |
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1.4.2 Term structure of freight rate contracts |
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16 | (1) |
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1.4.3 Seasonality in freight rate markets |
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17 | (2) |
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1.4.3.1 Case 1: Seasonality patterns in dry-bulk markets |
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19 | (1) |
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1.4.3.1.1 Spot market seasonality |
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19 | (1) |
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1.4.3.1.2 One-year T/C seasonality |
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20 | (1) |
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1.4.3.1.3 Three-year T/C seasonality |
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21 | (1) |
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1.4.3.1.4 Seasonality comparisons between vessel types and contract durations |
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21 | (1) |
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1.4.3.1.5 Seasonality patterns under different market conditions |
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22 | (1) |
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1.4.3.2 Case 2: Seasonality patterns in tanker markets |
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22 | (2) |
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1.4.3.3 Case 3: Seasonality strategies |
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24 | (1) |
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1.5 Vessel prices and vessel price risks |
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25 | (3) |
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1.5.1 Vessels as capital assets |
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25 | (2) |
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1.5.2 Market efficiency in the markets for vessels |
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27 | (1) |
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28 | (2) |
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2 Business risks analysis in shipping and traditional risk management strategies |
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30 | (27) |
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30 | (1) |
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2.2 The sources of risk in the shipping industry |
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31 | (4) |
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2.3 Business decisions faced by the international investor |
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35 | (2) |
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2.4 The cash-flow position of the shipowner |
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37 | (1) |
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2.5 Volatilities of spot and time-charter rates in shipping |
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38 | (10) |
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2.5.1 Time-varying freight rate volatilities for different sub-sectors |
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40 | (2) |
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2.5.2 Time-varying freight rate volatilities for contracts of different duration |
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42 | (3) |
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2.5.3 Volatilities (risks) in different vessel markets |
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45 | (1) |
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2.5.3.1 Time-varying volatilities of different vessel sizes |
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46 | (2) |
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2.6 Volatility spillovers across shipping segments |
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48 | (1) |
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2.7 Correlations amongst shipping sub-sectors and portfolio diversification |
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49 | (3) |
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2.8 Summary of traditional risk management strategies |
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52 | (1) |
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2.9 Risk management and the use of derivatives in the shipping industry |
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53 | (2) |
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55 | (2) |
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3 Introduction to financial derivatives |
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57 | (64) |
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57 | (1) |
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3.2 The economic functions and benefits of financial derivatives |
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58 | (4) |
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3.3 The risks associated with financial derivatives |
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62 | (1) |
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3.4 Types of participants in derivatives markets |
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63 | (1) |
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3.5 Forward and futures contracts |
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64 | (23) |
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3.5.1 Market positions (long and short) |
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65 | (3) |
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3.5.2 Mark-to-market and clearing |
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68 | (2) |
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3.5.3 Basis and basis risk |
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70 | (2) |
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3.5.4 Optimal hedge ratio determination |
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72 | (2) |
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3.5.5 Pricing and the cost-of-carry model |
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74 | (3) |
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3.5.5.1 Example 1: Contango market: Futures/forward price higher than the spot price |
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77 | (1) |
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3.5.5.2 Example 2: Normal backwardation: Futures/forward price lower than the spot price |
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78 | (1) |
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3.5.6 Pricing examples for different underlying assets |
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79 | (1) |
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3.5.6.1 Case 1: Forward price of asset with no income |
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79 | (1) |
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3.5.6.2 Case 2: Forward price of asset with income |
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79 | (1) |
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3.5.6.3 Case 3: Forward price of assets with known yield and stock indices |
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80 | (2) |
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3.5.6.4 Case 4: Forward price of currency contracts |
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82 | (1) |
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3.5.6.5 Case 5: Forward price of assets that are held for investment purposes |
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83 | (2) |
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3.5.6.6 Case 6: Forward price of assets that are held for consumption |
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85 | (1) |
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3.5.6.7 Case 7: Forward price of non-storable assets |
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86 | (1) |
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87 | (6) |
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3.6.1 Pricing of swap contracts |
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88 | (2) |
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3.6.1.1 Case 1: Pricing interest rate swaps |
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90 | (2) |
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3.6.1.2 Case 2: Pricing currency swaps |
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92 | (1) |
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93 | (23) |
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3.7.1 Payoffs of option contracts |
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93 | (3) |
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3.7.2 Hedging with option contracts |
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96 | (2) |
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3.7.3 Options versus futures/forwards |
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98 | (2) |
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3.7.4 Intrinsic and time value of options |
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100 | (1) |
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3.7.5 Factors influencing option prices and the "Greeks" |
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101 | (1) |
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3.7.5.1 Price of underlying asset (S) |
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101 | (1) |
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3.7.5.2 Strike or exercise price (X) |
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102 | (1) |
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3.7.5.3 Time to expiration (T) |
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102 | (1) |
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3.7.5.4 Price volatility of the underlying asset (a) |
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103 | (1) |
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3.7.5.5 Risk-free interest rate (r) |
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103 | (1) |
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3.7.5.6 Case: Utilising the Greeks -- a Delta hedge strategy |
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104 | (1) |
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104 | (1) |
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3.7.6.1 Model 1: The binomial model |
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105 | (1) |
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3.7.6.2 Model 2: The Black--Scholes model |
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105 | (4) |
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3.7.7 Price limits of options |
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109 | (1) |
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3.7.8 Put--call parity relationship |
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110 | (1) |
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111 | (1) |
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3.7.9.1 Model 1: The Kemma and Vorst model |
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112 | (1) |
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3.7.9.2 Model 2: The Turnbull and Wakeman model |
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113 | (1) |
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3.7.9.3 Model 3: The Levy arithmetic rate approximation |
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113 | (1) |
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3.7.9.4 Model 4: The Curran approximation |
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114 | (1) |
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3.7.10 Other exotic options |
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115 | (1) |
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3.8 Accounting treatment of derivative transactions |
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116 | (2) |
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118 | (3) |
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Appendix: Cumulative standard normal distribution table |
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119 | (2) |
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4 Freight market information and freight rate indices |
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121 | (37) |
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121 | (1) |
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4.2 Dry-bulk market information and freight rate indices |
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122 | (15) |
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4.3 Tanker market information and freight rate indices |
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137 | (13) |
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4.3.1 Baltic Exchange freight rate indices |
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137 | (5) |
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4.3.2 Platts freight rates assessments |
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142 | (7) |
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4.3.3 Liquefied Petroleum Gas (LPG) and Liquefied Natural Gas (LNG) indices |
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149 | (1) |
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4.4 Containership freight rate indices |
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150 | (7) |
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4.4.1 China (Export) Containerized Freight Index (CCFI) |
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151 | (1) |
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4.4.2 Shanghai Containerized Freight Index (SCFI) |
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151 | (1) |
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4.4.3 World Container Index (WCI) |
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152 | (1) |
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4.4.4 Ningbo Containerized Freight Index (NCFI) |
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153 | (2) |
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4.4.5 The Freightos Baltic Index (FBX) |
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155 | (2) |
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157 | (1) |
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5 Freight rate derivatives |
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158 | (64) |
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158 | (3) |
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5.2 Freight futures markets: early efforts and currently non-active exchanges in freight derivatives --- a historical perspective |
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161 | (5) |
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5.2.1 The Baltic International Freight Futures Exchange (BIFFEX) contract |
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161 | (1) |
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5.2.1.1 Clearing BIFFEX trades: the LCH.Clearnet (LCH) |
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162 | (2) |
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5.2.2 The International Maritime Exchange (IMAREX) |
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164 | (1) |
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5.2.2.1 Clearing IMAREX trades: the Norwegian Futures and Options Clearing House (NOS) |
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165 | (1) |
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5.2.3 The Nasdaq Energy Futures Exchange (NFX) |
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165 | (1) |
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5.3 Active exchanges trading freight futures and associated clearing-houses |
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166 | (12) |
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5.3.1 The European Energy Exchange (EEX) and the European Commodity Clearing (ECC) House |
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167 | (1) |
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5.3.1.1 Clearing EEX trades: the European Commodity Clearing (ECC) House |
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168 | (2) |
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5.3.1.1.1 A Clearing example at the European Commodity Clearing (ECC) house |
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170 | (1) |
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5.3.2 The Chicago Mercantile Exchange (CME) Group |
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171 | (3) |
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5.3.3 The Intercontinental Exchange (ICE) |
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174 | (2) |
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5.3.4 The Singapore Exchange Limited (SGX) and the Singapore Exchange Derivatives Clearing SGX-DC |
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176 | (2) |
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5.4 Over-The-Counter (OTC) freight derivatives |
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178 | (9) |
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5.4.1 Trading volumes of freight derivatives |
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178 | (3) |
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5.4.2 Trading volumes of freight derivatives: OTC versus cleared |
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181 | (2) |
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5.4.3 Credit risk in freight derivative contracts |
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183 | (2) |
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5.4.4 Clearing OTC freight derivatives |
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185 | (1) |
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5.4.5 Key properties of FFA contracts |
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185 | (1) |
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5.4.5.1 Tailor made versus liquidity |
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185 | (1) |
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5.4.5.2 Basis and off-hire risks |
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186 | (1) |
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5.5 Market information on FFAs and freight options contracts |
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187 | (11) |
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5.5.1 Negotiating and writing FFA contracts |
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188 | (1) |
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5.5.2 The Forward Freight Agreement Brokers Association (FFABA) |
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189 | (2) |
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5.5.3 The Baltic Forward Assessments (BFAs) |
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191 | (4) |
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5.5.4 The Baltic Options Assessments (BOAs) |
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195 | (1) |
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5.5.5 Freight futures prices from market-makers and shipbrokers |
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196 | (1) |
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5.5.6 Freight options prices from organised stock exchanges (market-makers) |
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197 | (1) |
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5.5.7 Trading screens for freight derivatives and other developments |
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197 | (1) |
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5.6 Historical evolution of shipping derivatives |
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198 | (4) |
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202 | (20) |
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Appendix I Clarksons dry-bulk FFA daily report (29 May 2019) |
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203 | (2) |
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Appendix II Clarksons dry-bulk freight options daily report (23 June 2017) |
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205 | (2) |
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Appendix III Forward Freight Agreement Brokers Association (FFABA) Forward Freight Agreement |
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207 | (6) |
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Appendix IV Forward Freight Agreement Brokers Association (FFABA) Freight Options Contract |
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213 | (9) |
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6 Applications of FFAs, pricing and risk management of FFA positions |
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222 | (41) |
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222 | (1) |
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6.2 Practical applications of freight futures and FFAs |
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222 | (25) |
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6.2.1 Dry-bulk voyage FFA, non-cleared |
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223 | (2) |
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6.2.2 Dry-bulk voyage "hybrid" FFA, cleared |
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225 | (1) |
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6.2.3 Dry-bulk voyage non-cleared versus cleared FFA |
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225 | (2) |
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6.2.4 Dry-bulk T/C non-cleared versus cleared FFA |
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227 | (1) |
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6.2.5 Dry-bulk 12-month T/C non-cleared versus cleared FFA |
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228 | (3) |
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6.2.6 Dry-bulk voyage trend FFA, cleared |
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231 | (1) |
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6.2.7 The hedger's point of view |
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232 | (3) |
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6.2.8 The speculator's/investor's point of view |
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235 | (1) |
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6.2.9 Tanker voyage FFA, non-cleared |
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235 | (1) |
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6.2.10 Tanker voyage freight futures, cleared |
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236 | (1) |
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6.2.11 Tanker T/C "hybrid" FFA (cleared) |
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237 | (2) |
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6.2.12 FFAs in newbuilding ship finance |
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239 | (1) |
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6.2.13 Securing favorable shipping loan terms through FFAs |
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240 | (2) |
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6.2.14 Application of the optimal hedge ratio in the FFA market |
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242 | (2) |
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244 | (3) |
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6.3 Freight derivatives strategies for banks |
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247 | (2) |
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6.4 Freight derivatives versus other risk management strategies |
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249 | (1) |
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6.5 The role of brokers in freight derivatives |
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250 | (3) |
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6.6 Economics and empirical evidence on FFAs and freight futures |
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253 | (8) |
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6.6.1 Pricing, price discovery and unbiasedness |
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254 | (3) |
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6.6.2 Hedging effectiveness |
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257 | (1) |
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6.6.3 Forecasting performance |
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258 | (1) |
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6.6.4 Impact on market volatility |
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258 | (1) |
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6.6.5 Microstructure effects |
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259 | (1) |
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6.6.6 Forward rate dynamics |
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259 | (1) |
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6.6.7 Market risk measurement |
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260 | (1) |
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6.6.8 Surveys on the use of shipping derivatives |
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261 | (1) |
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261 | (2) |
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7 Applications of freight options |
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263 | (40) |
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263 | (1) |
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7.2 The characteristics of freight options |
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263 | (1) |
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7.3 Option strategies for freight hedging purposes |
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264 | (11) |
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7.3.1 Dry-bulk freight option hedge |
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265 | (2) |
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7.3.1.1 Case 1: The shipowner's hedge -- buying a protective put (floorlet) |
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267 | (1) |
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7.3.1.2 Case 2: The charterer's hedge -- buying a protective call (caplet) |
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268 | (1) |
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7.3.1.3 Case 3: The shipowner's hedge -- writing a covered call |
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268 | (1) |
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7.3.1.4 Case 4: The charterer's hedge -- writing a covered put |
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269 | (1) |
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7.3.2 Options versus futures/forwards |
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270 | (1) |
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7.3.2.1 Case 1: Options versus FFAs in a voyage hedge |
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270 | (1) |
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7.3.2.2 Case 2: Options versus FFAs in a time-charter hedge |
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271 | (1) |
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7.3.3 Tanker freight option hedges |
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272 | (2) |
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7.3.4 Calendar option hedges |
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274 | (1) |
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7.3.4.1 Case 1: Charterer's calendar hedge |
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274 | (1) |
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7.3.4.2 Case 2: Shipowner's calendar hedge |
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275 | (1) |
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7.4 Freight option strategies for finance purposes |
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275 | (4) |
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7.4.1 Example 1: Price volatility (business cycle) trading |
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277 | (1) |
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7.4.2 Example 2: Forward curve shape trading |
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277 | (2) |
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7.5 Freight option strategies for investment purposes |
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279 | (22) |
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7.5.1 Option spread strategies |
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279 | (1) |
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7.5.1.1 Case 1: Bull call spreads (or supercaps) |
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279 | (2) |
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7.5.1.2 Case 2: Bear call spreads (or superfloors) |
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281 | (2) |
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7.5.1.3 Case 3: Butterfly spreads |
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283 | (1) |
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7.5.1.4 Case 4: Calendar spreads |
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284 | (1) |
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7.5.2 Option combination strategies |
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285 | (2) |
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7.5.2.1 Case 1: Bottom (or long) straddles (or straddle purchases) |
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287 | (1) |
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7.5.2.2 Case 2: Top (or short) straddles (or straddle writes) |
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288 | (1) |
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7.5.2.3 Case 3: Bottom (or long) strips |
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289 | (1) |
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7.5.2.4 Case 4: Top (or short) strips |
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290 | (1) |
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7.5.2.5 Case 5: Bottom (or long) straps |
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291 | (1) |
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7.5.2.6 Case 6: Top (or short) straps |
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292 | (2) |
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7.5.2.7 Case 7: Bottom (or long) strangles (or bottom vertical combination) |
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294 | (1) |
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7.5.2.8 Case 8: Top (or short) strangles (or top vertical combination) |
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294 | (1) |
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7.5.3 Freight option strategies for arbitrage purposes |
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295 | (1) |
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7.5.3.1 Case 1: Conversions |
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296 | (1) |
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7.5.3.2 Case 2: Reversals |
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297 | (1) |
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298 | (1) |
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7.5.3.3.1 Example 1: Short box strategy |
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299 | (1) |
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7.5.3.3.2 Example 2: Long box strategy |
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299 | (2) |
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7.6 Summary of freight option strategies |
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301 | (2) |
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7 7 Economics and empirical evidence on freight options |
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303 | (4) |
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303 | (2) |
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7.7.2 Freight option dynamics and information transmission across physical and derivative freight markets |
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305 | (1) |
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306 | (1) |
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8 Market risk measurement and management in shipping markets |
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307 | (21) |
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Dimitris N. Dimitrakopoulos |
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307 | (1) |
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8.2 What is Value-at-Risk (VaR)? |
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308 | (1) |
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8.3 Various types of Value-at-Risk models |
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309 | (9) |
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8.3.1 Non-parametric models |
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309 | (1) |
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8.3.1.1 Historical simulation (HS) |
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309 | (1) |
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8.3.1.2 Hybrid historical simulation (HHS) |
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310 | (1) |
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310 | (1) |
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8.3.2.1 The variance-covariance method |
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310 | (2) |
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8.3.2.2 Random walk model (Exponentially Weighted Moving Average, EWMA) |
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312 | (1) |
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8.3.2.3 Integrated GARCH-RiskMetrics VaR |
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313 | (1) |
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8.3.2.3.1 Example 1: Estimating daily 95% VaR with the RiskMetrics model for BCI route C4 |
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314 | (1) |
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8.3.2.4 Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models |
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315 | (2) |
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8.3.3 Semi-parametric models |
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317 | (1) |
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8.3.3.1 Filtered historical simulation (FHS) |
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317 | (1) |
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318 | (2) |
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320 | (1) |
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8.5.1 An example on the estimation of the ES |
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320 | (1) |
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8.6 The evaluation of VaR models: backtesting |
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321 | (1) |
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8.7 Practical examples on estimating market risk in shipping |
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322 | (4) |
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8.7.1 Estimating multiperiod risk for freight rate exposures when freight rate fixtures do not overlap |
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322 | (1) |
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8.7.2 Estimating the VaR by scaling volatility with the square root of time |
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323 | (1) |
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8.7.3 Estimating medium-term VaR |
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324 | (1) |
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8.7.3.1 Case 1: VaR estimation with volatility scaling |
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324 | (1) |
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8.7.3.2 Case 2: VaR estimation by applying the scaling law |
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325 | (1) |
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8.7.3.3 Case 3: Estimating the portfolio's risk for freight rate exposures |
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325 | (1) |
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326 | (2) |
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9 Bunker price derivatives |
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328 | (28) |
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328 | (2) |
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330 | (2) |
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9.3 Key economic variables affecting the bunker market |
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332 | (1) |
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9.4 Forward bunker agreements |
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333 | (2) |
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9.5 The bunker fuel oil futures market |
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335 | (7) |
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9.5.1 Early efforts on bunker fuel oil futures |
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335 | (1) |
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9.5.2 Cross-hedging bunker price risk |
|
|
335 | (3) |
|
9.5.3 The market of bunker futures contracts |
|
|
338 | (4) |
|
|
|
342 | (3) |
|
|
|
345 | (9) |
|
|
|
348 | (1) |
|
9.7.1.1 Case 1: Zero-cost collars |
|
|
348 | (5) |
|
9.7.1.2 Case 2: Participating collars |
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|
353 | (1) |
|
|
|
353 | (1) |
|
|
|
354 | (2) |
|
10 Vessel value derivatives |
|
|
356 | (15) |
|
|
|
356 | (2) |
|
10.2 The Forward Ship Value Agreements (FoSVAs) and Sale & Purchase Forward Agreements (SPFAs) |
|
|
358 | (3) |
|
10.3 Practical applications of SPFAs |
|
|
361 | (3) |
|
10.3.1 Hedging vessel price risk using an SPFA contract |
|
|
361 | (2) |
|
10.3.2 Vessel hedging with a multiple maturity SPFA |
|
|
363 | (1) |
|
10.4 Pricing SPFA contracts |
|
|
364 | (2) |
|
10.5 Baltic Ship Recycling Assessments (BSRAs) |
|
|
366 | (4) |
|
10.5.1 Overview of the vessel scrapping industry |
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|
368 | (2) |
|
|
|
370 | (1) |
|
11 Foreign exchange derivatives |
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|
371 | (18) |
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|
371 | (3) |
|
11.2 Money market hedging |
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|
374 | (1) |
|
11.3 Currency forwards and futures |
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|
375 | (5) |
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11.3.1 Hedging an expected cash outflow |
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377 | (1) |
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11.3.2 Hedging an expected cash inflow |
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|
378 | (1) |
|
11.3.3 Speculating currency trade |
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|
379 | (1) |
|
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|
380 | (2) |
|
11.4.1 Swapping liabilities |
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|
380 | (1) |
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11.4.2 Swapping transaction exposures |
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|
381 | (1) |
|
|
|
382 | (1) |
|
11.6 Comparison of derivative transactions in the currency market |
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|
382 | (5) |
|
11.6.1 Case 1: Alternative trading strategies |
|
|
383 | (1) |
|
11.6.1.1 Alternative 1: Money market trade |
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|
383 | (1) |
|
11.6.1.2 Alternative 2: Currency forward trade |
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|
383 | (1) |
|
11.6.1.3 Alternative 3: Currency options trade 1 |
|
|
383 | (1) |
|
11.6.1.4 Alternative 4: Currency options trade 2 |
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|
384 | (1) |
|
11.6.2 Case 2: Alternative hedging strategies |
|
|
385 | (1) |
|
11.6.2.1 Alternative 1: Remain unhedged |
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|
385 | (1) |
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11.6.2.2 Alternative 2: Currency forward hedge |
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|
385 | (1) |
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11.6.2.3 Alternative 3: Money market hedge |
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|
386 | (1) |
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11.6.2.4 Alternative 4: Currency futures hedge |
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|
386 | (1) |
|
11.6.2.5 Alternative 5: Currency options hedge |
|
|
386 | (1) |
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|
387 | (2) |
|
12 Interest rate derivatives |
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|
389 | (25) |
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389 | (1) |
|
12.2 The underlying assets |
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|
390 | (4) |
|
12.2.1 Treasury bonds and notes |
|
|
391 | (1) |
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|
392 | (1) |
|
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|
392 | (1) |
|
12.2.4 London Interbank Offer Rate |
|
|
393 | (1) |
|
12.3 Forward Rate Agreements (FRAs) |
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|
394 | (1) |
|
12.4 Interest rate futures |
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|
395 | (8) |
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|
396 | (1) |
|
12.4.2 Pricing of contracts |
|
|
396 | (2) |
|
12.4.3 Hedging and trading applications |
|
|
398 | (1) |
|
12.4.3.1 Case 1: Trading with Eurodollar futures |
|
|
398 | (1) |
|
12.4.3.2 Case 2: Hedging with Eurodollar futures |
|
|
398 | (1) |
|
12.4.3.3 Case 3: Hedging with T-Bond futures |
|
|
399 | (1) |
|
12.4.3.4 Case 4: Hedging with T-Bill futures |
|
|
400 | (1) |
|
12.4.3.5 Case 5: Interest rate futures spreads |
|
|
401 | (2) |
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|
403 | (5) |
|
12.5.1 The comparative advantage in an interest rate swap |
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|
405 | (1) |
|
12.5.2 Shipowner's schedule of payments in an interest rate swap |
|
|
405 | (1) |
|
12.5.3 Exotic interest rate swaps |
|
|
406 | (2) |
|
12.6 Interest rate options |
|
|
408 | (5) |
|
12.6.1 Interest rate caps |
|
|
408 | (1) |
|
12.6.2 Interest rate floors |
|
|
409 | (2) |
|
12.6.3 Interest rate collars |
|
|
411 | (2) |
|
|
|
413 | (1) |
|
13 Credit risk and credit derivatives |
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|
414 | (39) |
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|
|
|
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|
|
414 | (1) |
|
13.2 Sources of credit risk in the shipping business |
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|
415 | (1) |
|
13.3 Types and measures of credit risk |
|
|
415 | (14) |
|
13.3.1 Types of credit risk |
|
|
415 | (1) |
|
13.3.2 Measures of credit risk |
|
|
416 | (1) |
|
13.3.2.1 Credit ratings and credit rating agencies (CRAs) |
|
|
417 | (2) |
|
13.3.2.1.1 Credit ratings in the shipping industry |
|
|
419 | (1) |
|
13.3.2.1.2 Credit ratings transitions |
|
|
419 | (1) |
|
13.3.2.1.3 Estimating ratings transitions matrices |
|
|
420 | (3) |
|
13.3.2.2 Credit spreads of shipping bonds |
|
|
423 | (5) |
|
13.3.2.3 Estimating probabilities of defaults (PDs) from bond prices |
|
|
428 | (1) |
|
13.4 Credit scoring models |
|
|
429 | (6) |
|
13.4.1 Financial accounting measures of credit risk |
|
|
430 | (1) |
|
13.4.2 Default risk drivers of shipping bank loans |
|
|
431 | (3) |
|
13.4.3 The Basel framework |
|
|
434 | (1) |
|
13.5 Structural models of credit risk |
|
|
435 | (4) |
|
13.5.1 Estimating probabilities of defaults (PDs) using the Merton model |
|
|
438 | (1) |
|
13.6 Credit risk in derivative transactions |
|
|
439 | (2) |
|
13.6.1 Credit risk in OTC FFA contracts |
|
|
441 | (1) |
|
13.7 Credit risk in bunker fuel oil transactions |
|
|
441 | (1) |
|
13.8 Credit risk management |
|
|
442 | (9) |
|
13.8.1 The use of collateral for credit risk management |
|
|
443 | (1) |
|
13.8.2 Credit enhancements |
|
|
444 | (1) |
|
13.8.3 Diversification as a tool for credit risk management |
|
|
444 | (1) |
|
13.8.4 Downgrade triggers and credit risk management |
|
|
445 | (1) |
|
13.8.5 Netting of contracts |
|
|
445 | (1) |
|
13.8.6 Credit Value-at-Risk (VaR) |
|
|
446 | (1) |
|
13.8.7 Credit derivatives |
|
|
446 | (1) |
|
13.8.7.1 Credit Default Swap (CDS) |
|
|
447 | (2) |
|
13.8.7.2 Total Return Swap (TRS) |
|
|
449 | (1) |
|
13.8.7.3 Credit Spread Option (CSO) |
|
|
450 | (1) |
|
|
|
451 | (2) |
|
14 Statistical tools for risk management in shipping |
|
|
453 | (43) |
|
|
|
453 | (1) |
|
14.2 Data sources and methods |
|
|
454 | (1) |
|
14.3 Descriptive statistics and the moments of random variables |
|
|
455 | (25) |
|
14.3.1 Measures of central tendency (location) - first moments |
|
|
456 | (1) |
|
|
|
456 | (1) |
|
|
|
457 | (1) |
|
|
|
457 | (1) |
|
|
|
457 | (1) |
|
14.3.1.5 The choice of measure for the first moment (location) |
|
|
458 | (1) |
|
14.3.2 Measures of dispersion --- second moments of the data |
|
|
459 | (1) |
|
|
|
459 | (1) |
|
14.3.2.2 Interquartile range |
|
|
459 | (1) |
|
14.3.2.3 Variance and standard deviation |
|
|
460 | (1) |
|
|
|
460 | (2) |
|
14.3.3 Measures of relative dispersion -- the Coefficient of Variation (CV) |
|
|
462 | (1) |
|
14.3.4 Measures of skewness -- the third moment of the data |
|
|
462 | (1) |
|
14.3.5 Measures of kurtosis -- the fourth moment of the data |
|
|
463 | (1) |
|
14.3.6 Measuring the relationship between two variables -- covariance and correlation |
|
|
464 | (1) |
|
14.3.7 Examples of calculating descriptive statistics in freight rate data |
|
|
464 | (6) |
|
14.3.7.1 Data recorded at different frequencies |
|
|
470 | (1) |
|
14.3.8 Measuring causal relationships between variables -- simple and multiple regression analysis |
|
|
471 | (1) |
|
14.3.8.1 Deriving the OLS (Ordinary Least Squares) estimators |
|
|
472 | (1) |
|
14.3.8.2 Properties of the fitted OLS line |
|
|
473 | (1) |
|
14.3.8.3 The problem of statistical inference |
|
|
474 | (1) |
|
14.3.8.4 Goodness of fit: R2 -- The coefficient of determination |
|
|
475 | (2) |
|
14.3.8.5 Extension of results to multivariate regression |
|
|
477 | (1) |
|
14.3.9 Time-series models, Autoregressive Integrated Moving Average (ARIMA) |
|
|
478 | (1) |
|
14.3.9.1 Moving Average (MA) processes |
|
|
479 | (1) |
|
14.3.9.2 Autoregressive processes |
|
|
479 | (1) |
|
14.3.9.3 ARMA processes and the Box--Jenkins approach |
|
|
479 | (1) |
|
14.4 Time-varying volatility models |
|
|
480 | (13) |
|
14.4.1 Moving averages estimates of variance |
|
|
481 | (1) |
|
14.4.2 Exponentially Weighted Moving Average (EWMA) |
|
|
482 | (1) |
|
14.4.3 Realised volatility models |
|
|
483 | (1) |
|
14.4.4 The class of ARCH and GARCH models |
|
|
484 | (1) |
|
14.4.4.1 Introduction to ARCH and GARCH models |
|
|
484 | (1) |
|
14.4.4.2 Asymmetric GARCH models |
|
|
485 | (1) |
|
14.4.4.3 GJR Threshold GARCH model |
|
|
486 | (1) |
|
14.4.4.4 Exponential GARCH model |
|
|
486 | (2) |
|
|
|
488 | (1) |
|
14.4.4.6 Markov regime switching GARCH models |
|
|
489 | (1) |
|
14.4.4.7 Multivariate GARCH models |
|
|
490 | (2) |
|
14.4.4.8 Stochastic volatility models |
|
|
492 | (1) |
|
14.4.4.9 Implied volatility |
|
|
492 | (1) |
|
14.5 Forecasting volatility |
|
|
493 | (2) |
|
14.5.1 Historical volatility forecast |
|
|
493 | (1) |
|
14.5.2 Exponential Weighted Moving Average (EWMA) volatility forecast |
|
|
493 | (1) |
|
14.5.3 GARCH models forecast |
|
|
493 | (2) |
|
|
|
495 | (1) |
| Bibliography |
|
496 | (11) |
| Index |
|
507 | |
