The Measurement and Analysis on the Influencing Factors of the VaR of Convertible Bonds

Convertible bonds value includes pure bond value and option value.During a short period of time,the pure bond value remains stable,the fluctuation of convertible bonds value only depends on the fluctuation of the embedded option value.Based on the relationship between embedded option value and the stock price of issuing company,the concept of VaR is applied in the measure of the risk of convertible bonds,this paper measures the VaR of the Merchant Bank convertible bonds with Monte Carlo Simulation.Finally,this paper analyses the factors of the VaR of convertible bonds by econometrics models.