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佩奇_ · 2020年03月03日

问一道题：NO.PZ2016070202000031

  1. FRM II
  2. Market Risk Measurement And Management

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.

这道题的其他提问和题目不对应啊，麻烦详细解释下这道题

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1 个答案

品职答疑小助手雍 · 2020年03月03日

同学你好

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

可赎回可转债的一般性态仍是债券，发行人有权利将其赎回，这一般是当债券的利率变低（也就是债券价格变高）时赎回，所以，这个赎回权，既可以看成是债券价格的call option，也可以看成是利率的put option。当利率的波动率下跌时，无论是债券的call option，还是利率的put option，它们的价格都会下降，而又因为你是short，所以对于callable convertible bond，价格是上升的。

或者换个角度来理解，callable convertible bond可以拆分为callable bond再加一个convertible的权利（也就是call option on stock)，这样要理解利率波动性对整个callable convertible bond的影响，只要看利率对callable bond的影响就可以了。站在发行人的角度来理解：利率的波动性下降，那利率下降的可能性、幅度就不会那么大，那我就需要一个“弱一点的”保护，所以callable bond的价格就可以更高一些了，因为保护越强，对发行人而言，价格就得越便宜。

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