Detail práce

A Dynamic Approach to Fuel Hedging with Reference to the 2020 International Maritime Organization Regulations

Autor: Bc. Michal Zítek
Rok: 2020 - letní
Vedoucí: PhDr. František Čech Ph.D.
Konzultant:
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 122
Ocenění:
Odkaz:
Abstrakt: In this thesis, we examine how marine fuels could be used in asset allocation
with respect to portfolio management in a multivariate modelling and crosshedging framework. The territory that remains largely unexplored is the level
of interdependence between bunker spot and five most actively traded energy
futures contracts. This approach relies on the (A)DCC-GARCH models as
a workhorse of financial applications. We investigate whether all correlations and volatilities show asymmetry of responses to positive and negative
innovations during both normal and turbulent periods and whether patterns
of correlations could be traced across the global ports. In doing so, timevarying conditional variance-covariance matrices estimated from these models are used in calculating the optimal portfolio design. The analysis works
as an umbrella term for the IMO 2020 sulphur cap regulations concerning oil
refineries, marine industry and energy investors. Overall, this study has four
main findings. Joint dynamics between return series matches overly volatile
correlations with weak and positive links between commodities. Employing four different hedging rules and performing a rolling window operation,
we find that complex hedging strategies do not provide greater benefits in
reducing portfolio variance contrary to the static methods. Gasoil is the
universal hedging instrument to manage uncertainty. In the present state of
arts, heavy-sulphur fuel oils along with scrubber-fitted vessels are a better
option to comply with sulphur content limits.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance