关键词: 沿海干散货, 运费衍生品, GC-MSV模型, 套期保值率

Abstract: In the face of bulk freight rate fluctuations, the shipper and shipping companies need to take appropriate method to control the risk. Hedging through the shipping freight derivatives is one of the major methods. This paper using GC-MSV model, with the minimum variance criterion, studies the optimal hedge ratio of coastal bulk freight derivatives and hedging effect with the decrease of variance, and compares other models. According to the hedging effect, the GC-MSV model adjusting dynamically has better performance than the other two models. It can reduce 20%~40% of the volatility through hedging. The coastal coal freight derivatives can hedge risk to some extent with the limit effect to reduce the assets variance.

Key words: coastal dry bulk, freight derivatives, GC-MSV model, hedging rate