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Measuring level of risk exposure in tanker Shipping freight markets

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  • WESSAM M. T. ABOUARGHOUB

    (Centre for Global Finance,Bristol Business School,University of the West of England, Bristol)

  • IRIS BIEFANG-FRISANCHO MARISCAL

    (Centre for Global Finance,Bristol Business School,University of the West of England, Bristol)

Abstract

This is an attempt to study the volatility structure of the tanker freight market and its exposure to market shocks. Therefore, we introduce a two state regime to investigate the possibility of two different volatility structures in shipping tanker freight markets. Empirical evidence is found that in general terms, shipping tanker freight returns, shift between two regimes, a high volatility regime and a low volatility regime and that market shocks in general increase the volatility of freight returns and has a lasting effect. In regards to measuring freight risk, it seams that semi-parametric approaches are appropriate methods for measuring level of risk exposure for shipping freight markets.

Suggested Citation

  • Wessam M. T. Abouarghoub & Iris Biefang-Frisancho Mariscal, 2011. "Measuring level of risk exposure in tanker Shipping freight markets," International Journal of Business and Social Research, LAR Center Press, vol. 1(1), pages 20-44, December.
    • Handle: RePEc:lrc:larijb:v:1:y:2011:i:1:p:20-44
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    References listed on IDEAS

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    2. Charalampos Basdekis & Apostolos Christopoulos & Alexandros Gkolfinopoulos & Ioannis Katsampoxakis, 2022. "VaR as a risk management framework for the spot and futures tanker markets," Operational Research, Springer, vol. 22(4), pages 4287-4352, September.

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