开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

•西• · 2020年05月11日

问一道题：NO.PZ2016070202000031 [ FRM II ]

  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.

利率波动下降会导致callable价值下降？为什么选b的上升呢？

添加评论
2 个答案

品职答疑小助手雍 · 2023年07月11日

callable bond使发行人有权利回购债券（发行人有债券的call option，投资人就是-债券的call option），convertible bond让投资人有权利把债券转换成股票（股票的call option）。

把这两种属性复合起来就可以了。

品职答疑小助手雍 · 2020年05月11日

嗨，努力学习的PZer你好：


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

利率波动下降使call option on bond价值下降，这项是被减的，所以利率波动下降会使整体callable convertible bond上升。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


水瓶公主 · 2023年07月10日

，callable convertible bond价值就等于bond + 股票的call option（受股票波动影响） - 债券的call option（受利率波动影响）。这个如何理解呢

  • 2

    回答

  • 2

    关注

  • 588

    浏览
相关问题

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. callable convertible bonboncall option on boncall option on stock

2023-07-10 10:18 2 · 回答

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

NO.PZ2016070202000031 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. Whis the effeon the value of a callable convertible bonof a crease in interest rate volatility anstoprivolatility? Q1callable convertible bong 和converitible bon有什么区别呢。 Q2converitible bon是债转股，sigma (r) 减少，就说明这个可转债没那么有吸引力（r下降，velue上升）所以卖得贵 （答案是inrease the value)。sigma(P) 减少，说明没那么容易转成债去获得额外收益, 所以Value减少 (答案是crease the value) 老师帮忙看下理解得对吗

2021-11-07 17:56 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