Research On The Risk Measurement Of Convertible Bonds And The Spillover Relationship Between Convertible Bonds And Stocks

Convertible bond is a kind of hybrid financial derivative with dual properties of stock and bond.On one hand,this complexity makes it have good profit characteristics.On the other hand,this complexity makes it face the risk that is difficult to estimate.In order to accurately grasp and effectively manage the risks of convertible bond market,it is necessary to accurately measure the risks of convertible bond market,and it is also necessary to understand the linkage between stock market and convertible bond market,Which are also the main research objects of this paper.This paper focuses on the market risk of convertible bond.Firstly,this paper discusses the risk factors of convertible bond and the relationship between convertible bond market and stock market from experience and theory.Then,using the method of empirical analysis,the paper selects the transaction data of Guangda convertible bond as samples,and uses the descriptive statistical method,the normal test method and the asymmetric GARCH model to describe the risk characteristics of Guangda convertible bond.Then,through GARCH-VaR and GARCH-CVaR methods,the risk of convertible bond is properly measured,and then the risk measurement methods are also compared and evaluatedIn order to explore the spillover relationship between convertible bond and stock market,this paper uses the general linear regression method to test the existence of this effect.Then Granger causality test is used to test whether there is volatility spillover effect between convertible bond market and stock market.Because the yield is easier to observe and understand than the volatility,then the paper tests and analyzes the yield spillover effect by establishing the vector autoregressive model(VAR)of convertible bond yield and stock yield.In order to further explore the specific path of spillover,the paper also uses the impulse response function and variance decomposition methodThe results show that the yield of convertible bond has the characteristics of thick tail and volatility aggregation,and the GED distribution can describe this thick tail feature more accurately.In addition,there is no leverage effect in convertible bond market.Compared with VaR method,CVaR method is more accurate in describing the tail risk of convertible bonds,and CVaR method is less sensitive to the confidence level.And there are one-way volatility spillover and yield spillover from stock market to convertible bond marketIt is considered that CVaR method under GED distribution may be a better method to measure the risk of convertible bond.The reason of one-way spillover may be that the convertible bond market is small and the mechanism is not perfect.This will affect the ability of information interpretation,digestion and absorption of the convertible bond market,and then hinder the information transmission from the convertible bond market to the stock market.