Risk measurement model and empirical study based on VaR for convertible bond

Pei Wu Dong; Jian Wen Lin; Fu Gao Bai

doi:10.1109/ICMSE.2007.4422119

Risk measurement model and empirical study based on VaR for convertible bond

Pei Wu Dong^*
, Jian Wen Lin
, Fu Gao Bai

^*Corresponding author for this work

School of Economics

Beijing Institute of Technology
China National Oil and Gas Exploration and Development Corporation

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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.

Original language	English
Title of host publication	Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1911-1915
Number of pages	5
ISBN (Print)	9787883580805
DOIs	https://doi.org/10.1109/ICMSE.2007.4422119
Publication status	Published - 2007
Event	2007 International Conference on Management Science and Engineering, ICMSE'07 - Harbin, China Duration: 20 Aug 2007 → 22 Aug 2007

Publication series

Name	Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)

Conference

Conference	2007 International Conference on Management Science and Engineering, ICMSE'07
Country/Territory	China
City	Harbin
Period	20/08/07 → 22/08/07

Keywords

Convertible bond
Option
Risk measurement
VaR

Access to Document

10.1109/ICMSE.2007.4422119

Cite this

Dong, P. W., Lin, J. W., & Bai, F. G. (2007). Risk measurement model and empirical study based on VaR for convertible bond. In Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th) (pp. 1911-1915). Article 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

Dong, Pei Wu ; Lin, Jian Wen ; Bai, Fu Gao. / Risk measurement model and empirical study based on VaR for convertible bond. Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th). Institute of Electrical and Electronics Engineers Inc., 2007. pp. 1911-1915 (Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)).

@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",

}

Dong, PW, Lin, JW & Bai, FG 2007, Risk measurement model and empirical study based on VaR for convertible bond. in Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)., 4422119, Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th), Institute of Electrical and Electronics Engineers Inc., pp. 1911-1915, 2007 International Conference on Management Science and Engineering, ICMSE'07, Harbin, China, 20/08/07. https://doi.org/10.1109/ICMSE.2007.4422119

Risk measurement model and empirical study based on VaR for convertible bond. / Dong, Pei Wu; Lin, Jian Wen; Bai, Fu Gao.
Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th). Institute of Electrical and Electronics Engineers Inc., 2007. p. 1911-1915 4422119 (Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

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AU - Dong, Pei Wu

AU - Lin, Jian Wen

AU - Bai, Fu Gao

PY - 2007

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N2 - 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.

AB - 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.

KW - Convertible bond

KW - Option

KW - Risk measurement

KW - VaR

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DO - 10.1109/ICMSE.2007.4422119

M3 - Conference contribution

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BT - Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)

PB - Institute of Electrical and Electronics Engineers Inc.

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Dong PW, Lin JW, Bai FG. Risk measurement model and empirical study based on VaR for convertible bond. In Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th). Institute of Electrical and Electronics Engineers Inc. 2007. p. 1911-1915. 4422119. (Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)). doi: 10.1109/ICMSE.2007.4422119

Risk measurement model and empirical study based on VaR for convertible bond

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