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dc.contributor.advisor陈珍珍
dc.contributor.author何天翔
dc.date.accessioned2016-02-14T03:35:33Z
dc.date.available2016-02-14T03:35:33Z
dc.date.issued2008-10-10 15:19:31.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/38324
dc.description.abstract随着我国资本市场的发展,可转换债券日益成为我国证券市场上主要的金融创新产品之一,其兼具融资和避险的双重功能。目前,学者们对可转换债券的研究绝大部分集中在定价和发行公告效应等领域,对其投资及风险管理的研究还很少。 可转换债券投资需要VaR风险值方法对其进行管理,金融资产价格的波动以及金融风暴带来的灾难性后果,充分显示了风险管理的重要性,VaR理论作为量化金融风险的主要工具,已经被国际金融机构广泛运用,在我国也进行了很多有益的尝试,但是主要集中在股票市场上,可转换债券的收益率特征和VaR风险管理方面,目前尚无系统研究。本文对可转债投资、收益率与波动特征进行了较为深入的分析,应用Laplace分布...
dc.description.abstractAs the development of China’s capital market, convertible bond has become one of the Innovative Financial Products, because of its double function in financing and hedging. But most of research focused in its pricing or effect of issue notice, research on its investment and risk management is still scarce. VaR is necessary in management of convertible bond. The volatility of financial asset and t...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=16907&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=17747
dc.subject可转换债券
dc.subjectVaR
dc.subjectLaplace分布
dc.subjectConvertible Bond
dc.subjectVaR
dc.subjectLaplace Distribution
dc.title可转换债券投资的VaR风险管理研究 ——基于Laplace分布的方法
dc.title.alternativeVaR Risk Management of Convertible Bond Investment Based On Laplace Distribution
dc.typethesis
dc.date.replied2008-05-30
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院计划统计系_统计学
dc.description.note学号:20051300740


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