摘要
本文运用久期—凸度方法对企业可转换债券的利率风险进行评估 ,通过将企业可转换债券的价值拆分为普通债券价值与相应期权价值之和 。
This paper presents the Duration and Convexity Method in evaluating the interest rate risk of convertible bond. Since the value of convertible bond can be viewed as portfolios of pure common bond and embedded options, we calculate the duration and convexity of both convertible bonds without call provision and those with call provision.
出处
《预测》
CSSCI
2000年第2期68-70,共3页
Forecasting
