第 1 页 共 18 页基于 VaR 可转债的风险管理研究摘要：随着我国金融市场的不断完善，一些新型的金融衍生工具逐步涌现。可转换债券因其同时具有债券和股票的性质受到市场欢迎，“向下债券保底，向上收益可期”的美誉也被市场中绝大多数的投资设所认可。然而，这种特殊的结构也使得可转债面临诸多复杂的风险因素，这些风险相互影响进而使得可转债的风险度量工作难度加大。并且由于我国可转债市场的发展不到三十年，国内关于可转债的相关研究工作落后于国外，而且我国学者关于可转债的研究大多是对可转债定价和条款研究，在风险度量模型和可转债市场风险水平及管理的研究相对较少。因此，本文通过对我国可转债的风险来源进行分析，运用 VaR 模型，根据圆通转债进行实证研究，对我国可转债市场的风险进行探索度量，同时将可转债和股票的风险进行了实证比对分析，最后分别从监管部门、融资者、投资者三个角度对如何防控可转债市场风险提出了一定的建议。关键词：VAR 模型 可转换债券 风险管理Abstract ： With the continuous improvement of financial market in China, some new financial derivatives have emerged gradually. Convertible bonds are increasingly welcomed by investors for their special structural advantages of both debt and equity. The reputation of "bottoming down bonds and rising yield" is also recognized by the vast majority of investment devices in the market. However, this special structure also makes convertible bonds face many complex risk factors. These risks affect each other and make the risk measurement of convertible bonds more difficult. Moreover, since the convertible debt 第 2 页 共 18 页market in China has not developed for more than 30 years, domestic research on convertible debt has lagged behind that of foreign countries, and Chinese scholars have mostly studied the pricing and terms of convertible debt. Therefore, this paper analyzes the risk sources of convertible bonds in China. Using VaR model, empirical research based on Everbright Convertible Bonds, ...
