@inproceedings{98b42deba24c40a4a487afe18a7521e7,
title = "Risk measurement model and empirical study based on VaR for convertible bond",
abstract = "Convertible Bond is a financial derivative with characteristics of fixed income securities and equity securities. This paper analyzes the value of convertible bonds, and constructs the short-term investment risk model measuring the bonds with the method of Value at Risk. The greatest loss of Shuiyun convertible bond one day in the future is forecasted in the risk measurement model by collecting some continuous closing prices of the bond and the relevant stock, and the result is satisfactory with the error below 5 percent, which shows that the risk measurement model provided effective forecasting for decision making.",
keywords = "Convertible bond, Option, Risk measurement, VaR",
author = "Dong, {Pei Wu} and Lin, {Jian Wen} and Bai, {Fu Gao}",
year = "2007",
doi = "10.1109/ICMSE.2007.4422119",
language = "English",
isbn = "9787883580805",
series = "Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "1911--1915",
booktitle = "Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)",
address = "United States",
note = "2007 International Conference on Management Science and Engineering, ICMSE'07 ; Conference date: 20-08-2007 Through 22-08-2007",
}