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Convertible Bond Pricing Models And Numerical Algorithms Based On The Credit Risk Study

Posted on:2004-09-22Degree:MasterType:Thesis
Country:ChinaCandidate:M R ZhongFull Text:PDF
GTID:2206360125455495Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
With the issue of "enforcement means of what listed corporate issues convertible corporate bonds" and three matched and related files, convertible bonds have been the third important financing means after IPO and match stock's financing manners. But there is enigmas in China's convertible bonds market, that is to say, market price before convertible is under convertible value correspond to stock. In allusion to the phenomenon, this paper researches influencing factors of convertible bonds value, and analyzes factors how to affect through model method. Thus this paper provides theory basis of better designing convertible bonds, especial confirmation of convertible bonds value, for issuers; and help the investors accurately cognition convertible bonds value characteristic and properly use convertible bond to invest.On the basis of former literatures' analyses for foreign risk, inflation indexes and credit risk affecting convertible bonds value, this paper puts forward pricing model of distinguishing general default and malice default through idea and method of model ,and concretely quantitates influencing factors of credit risk through distinguishing malice default distribution between effective capital market and invalid capital market. When I research numerical value arithmetic of convertible bonds, this paper better resolves problem of discount selection in backing up calculation through which to apply the way of TF(1998) dealing with credit risk to bilateral tree pricing model of convertible bonds. That is to say, risk rate is used to discount in the cash-only part of convertible bonds and free risk rate does in equity part. Besides which, this paper explores innovation application of convertible bonds in capital market such as optimizing listed corporate governances and put forward the operation mode system of China convertible bonds market.
Keywords/Search Tags:convertible bonds, credit risk, pricing, numerical arithmetic
PDF Full Text Request
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