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daxianjia · 2020年03月16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.

你好老师，这道题的考点是在notes上那一个呢？不是很能理解

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1 个答案

小刘_品职助教 · 2020年03月17日

同学你好，

这道题是在组合考察两个知识点：

1）考察标的是可赎回可转换债券，对于这个债券来说，因为可赎回是发行人的权利，所以这个权利价值降低的话，这个债券的价格会升高；对于可转换来说是投资者的权益，所以所以这个权利价值降低的话，这个债券的价格会降低。

2）option与volatility的关系，两个volatility的下降，都会导致option的价值下跌。

把这两个知识点组合起来就能得到答案的结论。

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