Risk measurement model and empirical study based on VaR for convertible bond

被引：0

作者：

Dong Pei-wu ^{[1
]}

Lin Jian-wen ^{[1
]}

Bai Fu-gao ^{[2
]}

机构：

[1] Beijing Inst Technol, Management & Econ Sch, Beijing 100081, Peoples R China

[2] China Natl Oil & Gas Explorat & Dev Corp, Beijing 100034, Peoples R China

来源：

PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (14TH) VOLS 1-3 | 2007年

关键词：

convertible bond; option; risk measurement; VaR;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Convertible Bond is a financial derivative with characteristics of fixed income securities and equity securities. This paper analyzes the value of convertible bonds, and constructs the short-term investment risk model measuring the bonds with the method of Value at Risk. The greatest loss of Shuiyun convertible bond one day in the future is forecasted in the risk measurement model by collecting some continuous closing prices of the bond and the relevant stock, and the result is satisfactory with the error below 5 percent, which shows that the risk measurement model provided effective forecasting for decision making.

引用

页码：1911 / +

页数：2

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