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A stochastic freight rate approach to valuation of crude tanker companies

Kolsrud, Fredrik; Ringstad, Fredrik
Master thesis
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1759944.pdf (7.749Mb)
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http://hdl.handle.net/11250/2476913
Utgivelsesdato
2017
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Samlinger
  • Master of Science [1116]
Sammendrag
This thesis aims to develop a stochastic valuation model for the shipping industry,

incorporating an Ornstein-Uhlenbeck process by capturing the meanreverting

dynamics of freight rates. It examines the theoretical foundation

underlying the mean-reverting processes, and project revenue by applying the

Monte Carlo simulation method to freight rates. We find empirical evidence

that historical freight rates are stationary, and literature supporting its meanreverting

properties. The model’s validity is tested through a valuation of

several shipping companies. We conclude that the results are ambiguous when

using the market value as benchmark, due to limitations in the projections

of capital structure as illustrated in the sensitivity analysis. The thesis has

developed a first step for a new valuation approach of crude oil tankers.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017
Utgiver
BI Norwegian Business School

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