摘要
市场风险是可转债投资所面临的重要风险之一。文章引入CVaR模型对可转债市场风险进行了度量,通过回溯检验验证了模型的有效性,并探讨了模型所预测的一致性风险价值在可转债市场投资组合中的应用,通过多目标线性规划方法实现对投资风险和收益的有效控制。
The market risk is one of important risks in convertible bond investment market. This article introduces the CVaR model to measure the convertible bond market risk, and confirms the model validity through the recollection examination. Then the article discusses the implication of the CVaR which model has forecasted, and get a satisfied Balance on the risk and investment reward by the multi-objective linear programming method.
出处
《长沙理工大学学报（社会科学版）》
2007年第2期87-91,共5页
Journal of Changsha University of Science and Technology：Social Science
关键词
可转债
一致性风险价值
回溯检验
风险控制
Convertible Bond
Coherent Value at Risk
Recollection Examination
Risk Control
