Analysis On Investment Decision Of Exchangeable Debt

With the rapid development of exchangeable bonds in recent years,the two major problems of investment decision-making is raised by the complexity of exchangeable bonds' game provisions and motivation.First,the complexity of exchangeable bonds' game provisions and motivation increased the difficulty to judge exchangeable bonds' bond property and equity property.Second,the game provisions is similar to exotic options,and the valuation of them would be affected by each other,which increased the difficulty to estimate the valuation of exchangeable bonds,To solve these two problems is the core of this paper to construct the investment decision-making framework of exchangeable debt.Based on the investor's point of view,this paper analyzed the difference and connection between exchangeable bonds and convertible bonds,and reviewed the relevant theories and literatures of convertible bond game provisions and Monte Carlo simulation,in order to build up the Theoretical Foundation.Then,through the analysis of the status quo,the motive and the existing problems of the exchangeable bond market,combined with the case analysis of " EB of 15 TIANJI ",this paper put forward the framework of exchangeable debt decision analysis for the two major problems.First,in order to judge the problem of exchangeable bonds' bond property and equity property,this paper mainly analyzes the two dimensions of the condition of issuer and the game provisions.The issuer analysis is mainly composed of three parts: shareholder status and willingness,capital operation and financial status.And the analysis of game provisions is mainly from the characteristics of their own and the design incentives of the issuer.Second,for the exchangeable bond valuation problem,this paper uses the Monte Carlo simulation pricing method and the game provisions to judge the ending of exchangeable bond,so as to solve the exchange of debt valuation process of path dependence As well as the interaction between the value of the game provisions.In general,this paper constructed the investment decision framework of exchangeable debt from qualitative and quantitative dimensions,hoping to provide some reference to investors...