- 期刊
Measurement of Risk in China's Convertible Bond Market‐‐Comparison based on Parametric Method, Semi‐Parametric Method and Non‐parametric Method
摘要
In this paper, parametric method, semi-parametric method and non-parametric method are respectively used to calculate the value at risk of convertible bonds in China. The parametric method adopts EGARCH model, TGACRH model and GARCH model of Asymmetric Laplace distribution. The results show that the non-parametric method has a better fitting effect on the index yield volatility of convertible bonds than the other two methods and can better describe the market risk of convertible bonds in China.
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