| 基于VaR-PARCH-CED模型对附有赎回条款的可转换债券风险测度的研究 |
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| 引用本文： | 刘江涛,;张文萍.基于VaR-PARCH-CED模型对附有赎回条款的可转换债券风险测度的研究[J].华北航天工业学院学报,2008(3):1-3. |
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| 作者姓名： | 刘江涛 ;张文萍 |
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| 作者单位： | 哈尔滨理工大学 黑龙江哈尔滨150040(刘江涛)，中石化管道储运公司 河北廊坊065000(张文萍) |
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| 摘 要： | 本文首先对附有赎回条款的可转换债券的风险因素进行分析，然后以桂冠转债的日收盘价格数据为样本，利用不同分布假设下的PARCH族模型进行实证研究，结果发现GED分布所测得的VaR要比t分布和正态分布所测得的VaR值更精确，更适合可转换债券风险测度要求。
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| 关 键 词： | 可转换债券 VaR GED分布 |
Study of the Convertible Bonds' Risk Measure with Redemption Terms Based VaR-PARCH-CED on Model |
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| LIU Jiang-tao ZHANG Wen-ping.Study of the Convertible Bonds' Risk Measure with Redemption Terms Based VaR-PARCH-CED on Model[J].Journal of North China Institute of Astronautic Engineering,2008(3):1-3. |
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| Authors: | LIU Jiang-tao ZHANG Wen-ping |
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| Institution: | LIU Jiang-tao1 ZHANG Wen-ping2 |
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| Abstract: | This paper firstly analyzed the risk factors of the convertible bonds with redemption terms,and then studied substantially the sample data of the daily closing price of the convertible bond named as Guiguan based on the PARCH model with different distributions.The result suggested that the value of with GED distribution was much more accurate than the value of VaR with t and normal distributions.Therefore it was more appropriate for the measure of the convertible bonds' risk. |
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| Keywords: | the convertible bonds VaR GED |
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