基于VaR-PARCH-CED模型对附有赎回条款的可转换债券风险测度的研究

Study of the Convertible Bonds' Risk Measure with Redemption Terms Based VaR-PARCH-CED on Model

本文首先对附有赎回条款的可转换债券的风险因素进行分析,然后以桂冠转债的日收盘价格数据为样本,利用不同分布假设下的PARCH族模型进行实证研究,结果发现GED分布所测得的VaR要比t分布和正态分布所测得的VaR值更精确,更适合可转换债券风险测度要求。

This paper firstly analyzed the risk factors of the convertible bonds with redemption terms, and then studied substantially the sample data of the daily closing price of the convertible bond named as Guiguan based on the PARCH model with different distributions. The result suggested that the value of with GED distribution was much more accurate than the value of VaR with t and normal distributions. Therefore it was more appropriate for the measure of the convertible bonds＇ risk.