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水瓶公主 · 2023年07月10日

这道公式如何理解呢

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2016070202000031

问题如下：

What is the effect on the value of a callable convertible bond of a decrease in interest rate volatility and stock price volatility?

选项：

A.

An increase in value due to both interest rate volatility and stock price volatility

B.

An increase and decrease in value, respectively

C.

A decrease and increase in value, respectively

D.

A decrease in value due to both

解释：

A decrease in stock price volatility decreases the value of the equity conversion option and thus the convertible bond price. A decrease in interest rate volatility decreases the value of the interest rate call option. Because the bond investor is short the interest rate option, this increases the value of the convertible.

callable convertible bond=bond-call option on bond+call option on stock

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2 个答案

DD仔_品职助教 · 2023年07月12日

嗨，从没放弃的小努力你好：


毕竟是投资者买单，对投资不好的话，投资者肯定不愿意出大价钱买；如果是对投资者好，发行人肯定是会卖的更贵。

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努力的时光都是限量版，加油！

DD仔_品职助教 · 2023年07月10日

嗨，努力学习的PZer你好：


同学你好，

callable convertible bond是可赎回可转债券，可赎回是给了发行人一个可以提前赎回债券的权利，相当于call option，但是这个权利是给发行人的，所以对投资者不利，那么就要在一个正常债券的基础上减去基础资产是bond的call option。可转表示投资者可以把债券转化成为股票，那么就相当于买股票，等于基础资产是股票的call option，对投资者有利，所以要在正常债券的基础上加上基础资产是stock的call option。

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加油吧，让我们一起遇见更好的自己！

水瓶公主 · 2023年07月12日

所以这个是站在投资者的角度来定价？

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NO.PZ2016070202000031问题如下 Whis the effeon the value of a callable convertible bonof a crease in interest rate volatility anstock privolatility? An increase in value e to both interest rate volatility anstoprice volatility An increase ancrease in value, respectively A crease anincrease in value, respectively A crease in value e to both A crease in stoprivolatility creases the value of the equity conversion option anthus the convertible bonprice. A crease in interest rate volatility creases the value of the interest rate call option. Because the boninvestor is short the interest rate option, this increases the value of the convertible. 为什么利率波动变小，债券的call option会变便宜； 为什么股票波动变小，股票的call option会变便宜？

2023-02-04 20:22 1 · 回答

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2021-11-07 17:56 2 · 回答

increase ancrease in value, respectively A crease anincrease in value, respectively A crease in value e to both A crease in stoprivolatility creases the value of the equity conversion option anthus the convertible bonprice. A crease in interest rate volatility creases the value of the interest rate call option. Because the boninvestor is short the interest rate option, this increases the value of the convertible. 利率波动下降会导致callable价值下降？为什么选b的上升呢？

2020-05-11 18:10 2 · 回答

Whis the effeon the value of a callable convertible bonof a crease in interest rate volatility anstoprivolatility? increase in value e to both interest rate volatility anstoprivolatility increase ancrease in value, respectively A crease anincrease in value, respectively A crease in value e to both A crease in stoprivolatility creases the value of the equity conversion option anthus the convertible bonprice. A crease in interest rate volatility creases the value of the interest rate call option. Because the boninvestor is short the interest rate option, this increases the value of the convertible. 请问call 是针对investor的，那为什么对于投资者来说，是short方呢？

2020-04-17 14:59 1 · 回答