可转换债券隐含波动率测度及其内在价值评估——以上市商业银行可转换债券为例  

Research on Measurement of Implicit Volatility of Convertible Bonds and Its Intrinsic Value Evaluation——Take convertible bonds of listed commercial banks as an example

作　　者：倪武帆 李明生 NI Wufan;LI Mingsheng

机构地区：[1]武汉纺织大学经济学院

出　　处：《价格理论与实践》2023年第8期154-157,210,共5页Price:Theory & Practice

基　　金：武汉纺织大学研究生创新基金项目成果,受武汉纺织大学产业经济研究中心资助。

摘　　要：可转换债券具有债权性、股权性与期权性等多重属性,其隐含波动率测度是进行债券定价及实施风险管理的重要手段。采用实证分析与市场观察比较方法,构建二叉树模型、分位数回归模型,选取10家上市商业银行为样本,通过引入修正无风险利率考察银行可转债理论价值与市场价格偏离幅度,并对可转债隐含波动率与正股价格影响关系展开分析。实证结果表明:银行可转债的理论价值略低于市场价格,其可转债的隐含波动率与正股股价存在负相关性,隐含波动率在一定程度上解释了市场中的可转债溢价现象。基于此,应完善可转债定价机制,优化可转债发行条款,提高可转债定价的信息化集成水平。Convertible bonds have multiple attributes such as debt, equity and option, and their implied volatility measurement is an important tool for bond pricing and risk management. A binomial tree model and a quantile regression model were constructed using empir-ical analysis and market observation comparison methods. Ten listed commercial banks were selected as a sample to examine the deviation of the theoretical value of bank convertible bonds from the market price by introducing a modified risk-free rate, and to analyse the relation-ship between the implied volatility of convertible bonds and the price of the underlying shares. The empirical results show that the theoreti-cal value of bank convertible bonds is slightly lower than the market price, and the implied volatility of their convertible bonds is negatively correlated with the price of the underlying shares, and the implied volatility explains the convertible bond premium in the market to a cer-tain extent. Based on this, the convertible bond pricing mechanism should be improved, the terms of convertible bond issuance should be optimized, and the level of information integration of convertible bond pricing should be improved.

关 键 词：可转换债 隐含波动率 商业银行 价值评估 债券市场 

分 类 号：F832.51[经济管理—金融学] F832.33