本文選題：可轉債　切入點：風險度量　出處：《華南理工大學》2012年碩士論文　論文類型：學位論文

【摘要】：可轉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品，并且兼具債權性和期權性的特征，價值形態(tài)相當復雜，是我國資本市場中一種重要的衍生金融工具。目前國內僅存在19支可上市流通的普通可轉債，身處困境的可轉債市場期待擴容已久，而關于可轉債風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險度量模型能夠對可轉債進行合理的風險度量，本文針對我國金融市場的特征，，探討構建可轉債風險度量模型的問題，并給出相應的算法和實證分析。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并結合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ǎo出了中國可轉債的風險度量模型。接著，選取了唐鋼轉債進行了實證分析，從可轉債的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，結果顯示QMC方法在計算唐鋼可轉債的風險值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，通過將模糊數學理論引入到可轉債的風險度量中，考慮可轉債的初始股價，波動率和收益率均為模糊數的情況下的風險度量問題，結合改進的蒙特卡羅方法，得到了模糊擬蒙特卡羅(FQMC)風險度量模型；同時為了更好的衡量風險度量模型的優(yōu)劣性，構造了一個新的評價指標BSR，并進行了適當的分析。接著選擇新鋼轉債進行實證分析，發(fā)現(xiàn)基于模糊擬蒙特卡羅方法的風險度量模型在計算可轉債模糊風險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債風險度量模型中。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，考慮可轉債標的股價服從分形布朗運動情況下的可轉債風險度量問題，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，得到了較好的結果。而通過本文構造的評價風險度量模型優(yōu)劣性的指標BSR也進一步說明，基于分形市場假說下的風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.
【學位授予單位】：華南理工大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.51

【參考文獻】

相關期刊論文 前10條

1 黃仿倫;Faure序列的一種構造方法[J];安徽大學學報(自然科學版);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;金融風險管理的VAR方法及其應用[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];管理工程學報;2007年02期

6 張?zhí)煊?彭隆澤;期權價格的擬Monte Carlo仿真計算[J];重慶建筑大學學報;2005年04期

7 馬玉林,陳偉忠,施紅俊;極值理論在VaR中的應用及對滬深股市的實證分析[J];金融教學與研究;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用研究[J];數理統(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的經驗分析[J];系統(tǒng)工程理論與實踐;2006年12期

相關碩士學位論文 前1條

1 崔志國;期權風險的ES度量[D];南京航空航天大學;2007年

本文編號：1606928