基于蒙特卡罗模拟法的可转换债券VaR测度

The Measure of Value at Risk of Convertible Bonds Based on Monte Carlo Simulation

可转换债券是兼具债权和期权的复合衍生金融工具,其价值包括普通债券价值和转股期权价值。由于目前我国的利率未市场化,纯粹债券价值保持稳定,可转换债券价值的波动仅取决于期权价值的波动,而短期内期权价格的变动主要受股票价格的影响。文章首先采用一般的蒙特卡罗模拟法计算出可转债对应股票的VaR,然后与基于t分布和TARCH(1,1)-M模型的蒙特卡罗模拟法相比较,发现后者的股票VaR模型是合理的;最后根据金融随机过程,计算出转股期权的VaR,进而推算出可转换债券的VaR。

Convertible bond is a complex derivative financial tool which has the characteristics of both creditors and options. Its value covers the ordinary bonds value and the convertible bonds options value. In China, the market-oriented interest rate reform is not finished, therefore the value of ordinary bonds keeps stable and the fluctuation in the value of the convertible bonds only depends on the fluctuation in the value of options. Moreover, the option price short-term movements are mainly influenced by the stock price. The Monte Carlo simulation method are used to calculate VaR of the corresponding shares to convertible bonds, then compared with the Monte Carlo Simulation method based on the t-distribution and TARCH （1, 1）-M model, the author finds the latter stock VaR model is reasonable. At last, according to the financial random process, the author calculates the VaR of convertible bonds options, then figures out VaR of the Convertible bonds.