Measuring Tanker Market Future Risk with the use of FORESIM

Dimitrios Lyridis, Nikolaos Manos, Panayotis Zacharioudakis, Athanassios Pappas and Aristidis Mavris
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Dimitrios Lyridis: National Technical University of Athens, (School of Naval Architecture and Marine Engineering)
Nikolaos Manos: National Technical University of Athens, (School of Naval Architecture and Marine Engineering)
Panayotis Zacharioudakis: National Technical University of Athens, (School of Naval Architecture and Marine Engineering)
Athanassios Pappas: National Technical University of Athens, (School of Naval Architecture and Marine Engineering)
Aristidis Mavris: Atlas Maritime

SPOUDAI Journal of Economics and Business, 2017, vol. 67, issue 1, 38-53

Abstract: Future market risk has always been a critical question in decision support processes. FORESIM is a simulation technique that models shipping markets (developed recently). In this paper we present the application of this technique in order to obtain useful information regarding future values of the tanker market risk. This is the first attempt to express future tanker market risk in relation to current market fundamentals. We follow a system’s analysis seeking for internal and external parameters affecting risk. Therefore we apply dynamic features in risk measurement taking into account all Tanker market characteristics and potential excitations from non-systemic parameters as well as their contribution to freight level formulation and fluctuation. In this way we are able to measure the behavior of future market risk as long as twelve months ahead with very encouraging results. The output information is therefore useful in all aspects of risk analysis and decision making in shipping markets.

Keywords: Tanker Market; Freight Rates; Forecasting; Modeling; Simulation; Artificial Neural Networks (ANN) (search for similar items in EconPapers)
JEL-codes: C45 C6 G17 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:spd:journl:v:67:y:2016:i:1:p:38-53

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