摘要
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.
| 源语言 | 英语 |
|---|---|
| 主期刊名 | Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th) |
| 出版商 | Institute of Electrical and Electronics Engineers Inc. |
| 页 | 1911-1915 |
| 页数 | 5 |
| ISBN（印刷版） | 9787883580805 |
| DOI | |
| 出版状态 | 已出版 - 2007 |
| 活动 | 2007 International Conference on Management Science and Engineering, ICMSE'07 - Harbin, 中国 期限: 20 8月 2007 → 22 8月 2007 |
出版系列
| 姓名 | Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th) |
|---|
会议
| 会议 | 2007 International Conference on Management Science and Engineering, ICMSE'07 |
|---|---|
| 国家/地区 | 中国 |
| 市 | Harbin |
| 时期 | 20/08/07 → 22/08/07 |
指纹
探究 'Risk measurement model and empirical study based on VaR for convertible bond' 的科研主题。它们共同构成独一无二的指纹。引用此
Dong, P. W., Lin, J. W., & Bai, F. G. (2007). Risk measurement model and empirical study based on VaR for convertible bond. 在 Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th) (页码 1911-1915). 文章 4422119 (Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICMSE.2007.4422119