基于VaR的可转换债券市场风险测度方法

可转换债券是我国一种重要的金融衍生工具，其价值包括债券价值和期权价值两部分，本文假设在一个相对极短的时间内，债券价值保持稳定，则该可转换债券价值的波动仅取决于其中期权部分价值的波动．而短期内期权部分的市场风险又集中体现在其标的资产的价格和运动规律上．根据金融随机过程和Monte Carlo模拟的方法，计算出标的物为股票的期权的受险价值VaR(Value at Risk)，进而推算出可转换债券的受险价值．

VaR-Based Method on Estimating Convertible Bond's Market Risk

Convertible Bond is a kind of important financial derivative instrument in China, its value includes pure bond value and option value. Supposing the pure bond value remains stable, during a comparatively short period of time, the fluctuation of convertible bond value only depends on that of the embedded option value. While the market risk of the embedded option mainly reflects on its underlying instruments value fluctuation. So the VaR of convertible bond can be calculated through the calculation of the embedded option's VaR. According to the way of financial stochastic process and Monte Carlo simulation.