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seven-zhu · 2021年11月07日

。

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2016070202000031

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.

What is the effect on the value of a callable convertible bond of a decrease in interest rate volatility and stock price volatility?


Q1：callable convertible bong 和converitible bond 有什么区别呢。


Q2：converitible bond 是债转股，sigma (r) 减少，就说明这个可转债没那么有吸引力（r下降，velue上升）所以卖得贵 （答案是inrease the value)。sigma(P) 减少，说明没那么容易转成债去获得额外收益, 所以Value减少 (答案是decrease the value)


老师帮忙看下理解得对吗

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品职答疑小助手雍 · 2021年11月08日

同学你好，

1.callable convertible bond就是这个bond既有买债券的人的转股权利，也有发债人也有回购债券的权利。

converitible bond只有买债券的人的转股权利。


2.理解的不对，callable convertible bond价值就等于bond + 股票的call option（受股票波动影响） - 债券的call option（受利率波动影响）。

所以利率波动变小，债券的call option变便宜（但是这项是要减的，所以会增加整体的价值）； 股票波动变小，股票的call option变便宜（这项是要加的，所以会减少整体的价值）。所以总体结果就是increase and decrease。

lsjlsjlsj · 2022年03月09日

你好老师请问为什么股票的波动率变小了

品职答疑小助手雍 · 2022年03月09日

题目最后一句： a decrease in interest rate volatility and stock price volatility

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