Measuring Crisis Risk Using Conditional Copulas: An Empirical Analysis of the 2008 Shipping Crisis

55 Pages Posted: 26 Nov 2014 Last revised: 20 Sep 2017

See all articles by Sebastian Opitz

Sebastian Opitz

University of Hamburg

Henry Seidel

University of Hamburg

Alexander Szimayer

University of Hamburg - Faculty of Economics and Business Administration

Date Written: November 16, 2016

Abstract

The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these two risk factors employing a conditional copula model. As conditioning factors we use the supply and demand of seaborne transportation. We find that crisis risk strongly increased already about one year before the actual crisis outburst and that the shipping crisis was predominantly driven by an oversupply of transport capacity. Therefore, market participants could have prevented or alleviated the crisis' consequences by reducing the ordering and financing of new vessels.

Keywords: conditional copula, tail dependence, ship finance

JEL Classification: G32, C58, L92

Suggested Citation

Opitz, Sebastian and Seidel, Henry and Szimayer, Alexander, Measuring Crisis Risk Using Conditional Copulas: An Empirical Analysis of the 2008 Shipping Crisis (November 16, 2016). Available at SSRN: https://ssrn.com/abstract=2530532 or http://dx.doi.org/10.2139/ssrn.2530532

Sebastian Opitz

University of Hamburg ( email )

Von-Melle-Park 5
Hamburg, 20146
Germany

Henry Seidel (Contact Author)

University of Hamburg ( email )

Von-Melle-Park 5
Hamburg, 20146
Germany

Alexander Szimayer

University of Hamburg - Faculty of Economics and Business Administration ( email )

Von-Melle-Park 5
Hamburg, 20146
Germany

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