Study On Risk Measurement Based On Estimation Of ES For Convertible Bonds

Convertible bonds,referred to as convertible corporate bonds,are financial derivatives that have the properties of both stocks and bonds.China Securities Regulatory Commission introduced a new regulation on refinancing in February 2017.It clearly supports the financing of listed companies through convertible bonds.Expansion and speed-up become an important trend in the development of convertible bonds.However,the current academic research on convertible bonds mainly focuses on pricing,terms,investment strategies and other fields,while the research on the risk of convertible bonds is relatively lagging behind.With the policy support for the financing mode of convertible bonds in China and the gradual expansion of the scale of convertible bonds,the measurement of the risks of the convertible bond market becomes more and more important.It is urgent to study the systemic risks of the convertible bond market.Therefore,based on the ES method of asymmetric Laplace distribution,the paper measures the risks of the domestic convertible bond market,in order to provide operational references for the risk analysis and risk avoidance of the domestic convertible bond market.In this paper,the daily closing price data during the 731 trading days of the CSI Convertible Bond Index is used as the raw data.First,the data is differentially processed to obtain a sequence of logarithmic returns.Then,the data is subjected to normality test,stationarity test,correlation test,and ARCH effect test to ensure that it has the conditions for modeling.Next,the VaR and ES sequences are calculated by the establishment of the GARCH model and the parameter estimation method of asymmetric Laplace distribution.Finally,the validity of VaR and ES estimation is tested.Research shows that: The research shows that both the ES method and the VaR method can be applied to the risk measurement of the convertible bond market in China,but the measurement of the actual loss by ES is more accurate than the VaR method,and the ES method can effectively measure the tail risk.Meanwhile,the ES method has the advantage of being able to effectively measure the tail risk and being less sensitive to the confidence level.Therefore,the ES method is more effective than the VaR method in measuring the risks in the convertible bond market in China.