可变参数模型在我国可转换债券利率风险衡量中的应用

Application of measuring the interest rate risk of the convertible bonds in China based on the variable parameter model

以桂冠转债为例借助于主成份分析法对该可转换债券的利率风险进行识别,并在此基础上运用可变参数模型对其利率风险进行衡量,从中发现随着时间的推移不同种类的利率对桂冠转债的价格在影响方向和影响程度大小上有着较大的差别,这就要求在对可转换债券利率风险管理中要能灵活多变,具体问题具体分析。

This text,by means of an example interest rate risk of the convertible bonds in of the convertible bonds called Guiguan, carries on identifying the the main composition analysis method,and makes use of the variable parameter model measuring the interest rate risk of the convertible bonds. From the discovery,we know that as time goes different interest rate influences the price in direction and degree,and this will also requires us to flexibly manage the interest rate risk of the convertible bonds, foolowing the rule of concrete condition.