Research On The Investment Risk Control Of Convertible Bonds And Its Application

With the international market combined increasely and the end of the protection period for China's entrance to WTO, Chinese financial market will face a strong impact that a large amount of capital is surged from foreign countries. Therefore, risk has already become an important subject of the financial field.The convertible bonds, as a kind of new-type financing instrument, have the functions of debt nature securities and capital securities concurrently to a certain extent so that their strong advantages have been shown. Over the recent two years, the convertible bond market is increasely pursued by investor instead of the former deregard. At present, the unprecedented scene of prevailing has appeared.However, the risk of the convertible bond exists objectively. The multiple attributes of the convertible bonds make the valuation and the risk control very complicated. This paper, from the institutional investors' point of view, performs how to identify, evaluate, and control during the investment of the convertible bonds.This text has been analysed to the current situation of Chinese transferable bond market and investment risk formation mechanism of the transferable bond at first, then sumarize some research results both at home and abroad systematically, including the pricing model of the transferable bond, market risk measures models, and has carried on the real example to Least Squares Monte Carlo Simulation pricing method, have received the comparatively satisfactory result. Based on this correctly the risk factor of transferable bond market has carried on sensitiveness analysis, choose 20 transferable bonds estimate their VaR and CVaR, and through last to is its examine validity to discuss model to track back one year. Introduced how to utilize risk value predicted to carry on positive risk control finally:Capital dispose, risk adjust achievement appraise,etc.In a word, this text has proposed a more overall value analysis of Chinese convertible bond and frame of the tolerance of market risk, and has carried on the discussion to the application of the VaR and CVaR in the control system of the risk, this not only can offer the thinking for the fact that will study such other risks as the credit risks of the convertible bond, operation risk,etc. further, choose suitable convertible bond investment variety carry on assets make for investor up and manage the basis of offering too.