本文選題：可轉(zhuǎn)債　切入點：風(fēng)險度量　出處：《華南理工大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：可轉(zhuǎn)換公司債券是一種具有籌資和避險雙重功能的金融衍生產(chǎn)品，并且兼具債權(quán)性和期權(quán)性的特征，價值形態(tài)相當(dāng)復(fù)雜，是我國資本市場中一種重要的衍生金融工具。目前國內(nèi)僅存在19支可上市流通的普通可轉(zhuǎn)債，身處困境的可轉(zhuǎn)債市場期待擴容已久，而關(guān)于可轉(zhuǎn)債風(fēng)險度量問題的研究仍處于探索階段，目前還沒有一個成熟且方便的風(fēng)險度量模型能夠?qū)赊D(zhuǎn)債進行合理的風(fēng)險度量，本文針對我國金融市場的特征，，探討構(gòu)建可轉(zhuǎn)債風(fēng)險度量模型的問題，并給出相應(yīng)的算法和實證分析。本研究主要從以下三個方面展開： 首先，通過使用隨機Faure序列和方差減小技術(shù)并結(jié)合Moro算法，提出了基于Faure序列和Moro算法的擬蒙特卡羅（QMC）方法�；谠摲椒�，給出了中國可轉(zhuǎn)債的風(fēng)險度量模型。接著，選取了唐鋼轉(zhuǎn)債進行了實證分析，從可轉(zhuǎn)債的VaR和ES估計值、方差以及計算效率幾個方面將該方法與普通蒙特卡羅方法(PMC)進行了比較，結(jié)果顯示QMC方法在計算唐鋼可轉(zhuǎn)債的風(fēng)險值VaR和ES時不僅方差更小，計算效率更高，而且其估計值也更加接近實際損失。 其次，通過將模糊數(shù)學(xué)理論引入到可轉(zhuǎn)債的風(fēng)險度量中，考慮可轉(zhuǎn)債的初始股價，波動率和收益率均為模糊數(shù)的情況下的風(fēng)險度量問題，結(jié)合改進的蒙特卡羅方法，得到了模糊擬蒙特卡羅(FQMC)風(fēng)險度量模型；同時為了更好的衡量風(fēng)險度量模型的優(yōu)劣性，構(gòu)造了一個新的評價指標(biāo)BSR，并進行了適當(dāng)?shù)姆治�。接著選擇新鋼轉(zhuǎn)債進行實證分析，發(fā)現(xiàn)基于模糊擬蒙特卡羅方法的風(fēng)險度量模型在計算可轉(zhuǎn)債模糊風(fēng)險ES時不僅方差更小，而且其估計值也更加接近實際損失。 進一步，結(jié)合中國金融市場的實際，探討將分形市場假說理論引入到可轉(zhuǎn)債風(fēng)險度量模型中。通過蒙特卡羅仿真實驗和實證分析說明了Whittle算法克服了常用的R/S算法、修正R/S算法、V/S算法以及DFA等算法在精度和穩(wěn)定性方面的缺陷。接著選用Whittle估計算法，考慮可轉(zhuǎn)債標(biāo)的股價服從分形布朗運動情況下的可轉(zhuǎn)債風(fēng)險度量問題，并使用基于分形市場假說下的蒙特卡羅算法進行模擬計算，得到了較好的結(jié)果。而通過本文構(gòu)造的評價風(fēng)險度量模型優(yōu)劣性的指標(biāo)BSR也進一步說明，基于分形市場假說下的風(fēng)險度量模型不僅是有效的，而且具有進一步研究的價值。
[Abstract]:Convertible corporate bond is a kind of financial derivative with the function of raising funds and avoiding risks, and it has the characteristics of both creditor's rights and option, and the value form is quite complex. Is an important derivative financial instrument in our country's capital market. At present, there are only 19 ordinary convertible bonds that can be listed and circulated in our country, and the troubled convertible bond market has been looking forward to expanding its capacity for a long time. However, the research on the risk measurement of convertible bonds is still in the exploratory stage. At present, there is not a mature and convenient risk measurement model that can measure the risk of convertible bonds reasonably. This paper aims at the characteristics of financial markets in China. This paper discusses the construction of convertible bond risk measurement model, and gives the corresponding algorithm and empirical analysis. Firstly, by using random Faure sequence and variance reduction technique and combining with Moro algorithm, a quasi Monte Carlo QMC method based on Faure sequence and Moro algorithm is proposed. Based on this method, the risk measurement model of Chinese convertible bonds is given. This paper selects Tangshan Iron and Steel Co. Ltd. to carry on the demonstration analysis, from the VaR and the es estimate value, the variance as well as the calculation efficiency several aspects, compares this method with the common Monte Carlo method (Monte-Carlo method), has carried on the comparison with the ordinary Monte-Carlo method (Monte-Carlo method). The results show that the QMC method not only has smaller variance and higher efficiency in calculating the risk value VaR and es of convertible bonds of Tangshan Iron and Steel Company, but also its estimated value is closer to the actual loss. Secondly, by introducing the fuzzy mathematics theory into the risk measurement of convertible bonds, considering the risk measurement problem under the condition that the initial stock price, volatility and yield of convertible bonds are all fuzzy numbers, and combining with the improved Monte Carlo method, The fuzzy quasi Monte Carlo FQMC risk measurement model is obtained, and a new evaluation index BSRs is constructed to better measure the advantages and disadvantages of the risk measurement model. It is found that the risk measurement model based on fuzzy quasi-Monte Carlo method not only has a smaller variance in calculating the fuzzy risk es of convertible bonds, but also its estimated value is closer to the actual loss. Furthermore, combining with the reality of Chinese financial market, the fractal market hypothesis theory is introduced into the risk measurement model of convertible bonds. The Monte Carlo simulation and empirical analysis show that the Whittle algorithm overcomes the commonly used R / S algorithm. This paper corrects the defects in the accuracy and stability of the R / S algorithm and the DFA algorithm, and then uses the Whittle estimation algorithm to consider the risk measurement problem of convertible bonds under the condition that the stock price of convertible bonds is based on the fractal Brownian motion. The Monte Carlo algorithm based on fractal market hypothesis is used to simulate and calculate, and good results are obtained. The index BSR, which is constructed in this paper to evaluate the advantages and disadvantages of the risk measurement model, is further illustrated. The risk measurement model based on fractal market hypothesis is not only effective, but also worthy of further study.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

【參考文獻】

相關(guān)期刊論文 前10條

1 黃仿倫;Faure序列的一種構(gòu)造方法[J];安徽大學(xué)學(xué)報(自然科學(xué)版);2004年03期

2 王春峰,張慶翠,李剛;中國股票市場收益的長期記憶性研究[J];系統(tǒng)工程;2003年01期

3 秦拯,陳收,鄒建軍;V aR模型的計算方法及其評析[J];系統(tǒng)工程;2005年07期

4 鄭文通;金融風(fēng)險管理的VAR方法及其應(yīng)用[J];國際金融研究;1997年09期

5 郝清民;;中國股市收益率長記憶性R/S非線性分析[J];管理工程學(xué)報;2007年02期

6 張?zhí)煊?彭隆澤;期權(quán)價格的擬Monte Carlo仿真計算[J];重慶建筑大學(xué)學(xué)報;2005年04期

7 馬玉林,陳偉忠,施紅俊;極值理論在VaR中的應(yīng)用及對滬深股市的實證分析[J];金融教學(xué)與研究;2003年06期

8 胡彥梅;張衛(wèi)國;陳建忠;;中國股市長記憶的修正R/S分析[J];數(shù)理統(tǒng)計與管理;2006年01期

9 羅付巖;徐海云;;擬蒙特卡羅模擬方法在金融計算中的應(yīng)用研究[J];數(shù)理統(tǒng)計與管理;2008年04期

10 何興強;李仲飛;;上證股市收益的長期記憶:基于V/S的經(jīng)驗分析[J];系統(tǒng)工程理論與實踐;2006年12期

相關(guān)碩士學(xué)位論文 前1條

1 崔志國;期權(quán)風(fēng)險的ES度量[D];南京航空航天大學(xué);2007年

本文編號：1606928