The Risk Value Research Of The Convertible Bond Investment In China

Since the B-S mathematical model of option pricing appeared from1973,Financial mathematics research has been rapid development, And achieved a veryfruitful research results. At the same time in the international option pricing and therisk measurement research also have been development. But at present in China, theresearch is still stay in the measure of traditional financial instruments market risk. Tothe financial derivatives market risk measurement, Especially option riskmeasurement have the less research. VaR model as a new risk management modeland method, In recent years, It gets the world financial institutions, financialregulators and enterprise widely recognized and applied, At present domestic to thismethod research has just started, Therefore, about the theory of the application tobe innovative.This article first introduced the B-S option pricing model, the paper introducedthe method of calculation convertible bonds VaR, and then including thevariance-covariance method, historical simulation method and MC method. Andthen This paper introduced the VaR calculation method of convertible bonds in ourcountry, At last according to the characteristics of the sample, using the threemethod to be real evidence to our several convertible bonds.In the research method, this paper mainly adopts in VaR calculation method,this paper adopted variance-covariance method, historical simulation method, MCmethod and Taylor expansion of B-S pricing formula to estimate the VaR of theconvertible bonds option part, and gradually put forward my opinions. It has certainguiding significance to Theory and practice.Through Empirical Study we found:1.To the time series of stock yield bydescriptive analysis, we found that they all have the characteristics of Rush partial tail.And the sequence is basically stable, but all of them have no ARCH effect.2.convertible bond of zhaoshang(125024), convertible bond of xiye(125960) andconvertible bond of julun(128031) and risk value of them relative to otherconvertible bonds is larger. By observing the stock prices volatility of the convertible bond, we found that the three bonds of the underlying stock price volatility is larger,so we concluded that share price volatility with their VaR has certain correlation.3.selection the confidence level has certain influence to the validity of the model.Such as selection under the condition of the confidence level of99%is better thanthat of under the level of confidence of95%.4. By comparing VaR with the actualloss, we can find that, in both the confidence level of95%and99%for most samplesof convertible bonds on historical simulation method is better than the other twomethods to calculate the absolute value of the VaR, The second is EWMA, Montecarlo simulation of the absolute value of the VaR calculation is minimum, this showsthat the historical simulation method could be relatively overvalued convertible bondfuture potential losses, it deviates from the actual profit and loss. So think in terms ofthe EWMA and Monte carlo simulation are better than historical simulation.