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VaR application to shipping companies returns
(2025-10-31) Roufogalis, Nikolaos; Gazis, Kyriakos; Konstantinou, Panagiotis; Androutsopoulos, Konstantinos; Drakos, Konstantinos
This thesis investigates the financial risk exposure of thirty-two listed shipping companies by applying the Value at Risk (VaR) methodology to stock returns. Particularly the analysis focuses on how leverage, prevailing market conditions and chartering risk-taking behavior influence the maximum potential stock price losses. Concretely for this scope, the study encompasses a panel dataset of thirty-two publicly listed shipping firms operating across various subsectors, including dry bulk, tanker, and LNG shipping, over a ten-year period from 2015 to 2025. Using quarterly stock return data, the research employs parametric Value-at-Risk (Variance-Covariance) approach, to enable the assessment of potential losses under both stable and volatile market conditions. Panel least squared model is running VaR at different confidence levels. The empirical findings of the regression indicate that despite the heterogeneity in risk profiles across shipping segments, higher leverage systematically increases downside risk, whereas firms with stronger market valuations measured by the book to equity variable exhibit lower risk exposure. At market level, financial markets sentiment and the macroeconomic conditions appear to have a significant effect on VaR, highlighting the level of shipping’s integration in capital markets. At the chartering policy level, the analysis explains the effect that the chartering mix has on the VaR, with the usage of dummy variables. All in all, the findings of this dissertation are able to provide useful insights for the shipping practitioners, the investors and the credit providers.