journal6 ›› 2006, Vol. 27 ›› Issue (4): 5-8.

• Mathematics • Previous Articles     Next Articles

Measure of Value at Risk of Convertible Bonds by Monte Carlo Simulation

  

  1. (College of Mathematical Sciences,South China Univ. of Tech.,Guangzhou 510640,China)
  • Online:2006-07-25 Published:2012-08-22

Abstract: Based on the relation between the value of convertible bonds and the undering stock price,the concept of value at risk is applied measure the risk of convertible bonds.Monte Carlo Simulation is introduced as the means of risk measure of convertible bonds,and its validity has been proved finally by point estimate in this article.

Key words: convertible bonds, risk measure, valur at risk, Monte Carlo Simulation

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