전환사채 주식전환을 위한 조건부 VaR 최적화Conditional Value-at-Risk Optimization for Conversion of Convertible Bonds
- Other Titles
- Conditional Value-at-Risk Optimization for Conversion of Convertible Bonds
- Authors
- 박구현; 심은택
- Issue Date
- 2011
- Publisher
- 한국경영과학회
- Keywords
- Value-at-Risk(VaR); Conditional Value-at-Risk(CVaR); Convertible Bond; Portfolio Optimization; Scenarios; Coherent Risk Measurement; Value-at-Risk(VaR); Conditional Value-at-Risk(CVaR); Convertible Bond; Portfolio Optimization; Scenarios; Coherent Risk Measurement
- Citation
- 경영과학, v.28, no.2, pp.1 - 16
- Journal Title
- 경영과학
- Volume
- 28
- Number
- 2
- Start Page
- 1
- End Page
- 16
- URI
- https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/20222
- ISSN
- 1225-1100
- Abstract
- In this study we suggested two optimization models to answer a question from an investor standpoint:how many convertible bonds should one convert, and how many keep? One model minimizes certain risk to the minimum required expected return, the other maximizes the expected return subject to the maximum acceptable risk. In comparison with Markowitz portfolio models, which use the variance of return, our models used Conditional Value-at-Risk(CVaR) for risk measurement.
As a coherent measurement, CVaR overcomes the shortcomings of Value-at-Risk(VaR). But there are still difficulties in solving CVaR including optimization models. For this reason, we adopted Rockafellar and Uryasev's[18, 19] approach. Then we could approximate the models as linear programming problems with scenarios. We also suggested to extend the models with credit risk, and applied examples of our models to Hynix 207CB, a convertible bond issued by the global semiconductor company Hynix.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Engineering > Industrial and Data Engineering > Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.