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Research on the Financial Model of Warrant Bonds and Hedge Strategy of Investor

Author: YaoRongHui
Tutor: ZhangShuLin
School: North China University of
Course: Quantitative Economics
Keywords: Warrant Bonds hedge Low Partial moments non-linear dynamic
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 121
Quote: 0
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Abstract


Warrant Bonds(WBs) which conjuncts three financial tools including stock, bond and warrant as a junior derivative was approved to be a refinance tool for the list companies in May 8th, 2006. The issuer, investor, agency institution and the regulators of our country are all unfamiliar with this financial tool correspondingly. What are the WBs’s characteristics, how should the participant agencies deal with it, especially how to control the risks for the institutional investors, which are the intention and significance of this paper’s analysis.Warrant Bonds was the basic research object of this paper. The qualitative analysis were carried out on the WBs’s characteristics and the relationship between WBs and the four participant agencies. Corresponding political countermeasures were given. The empirical analysis which adopted the method of comprehensive utilization of financial mathematic and econometrical theories on the optimal indexed hedge strategy used by the institutional investors was carried out.The theoretical research focuses on the optimal hedge ratio, thus parameters computed in the traditional method of minimizing variance were processed by three optimized schemes. Two innovational optimal hedge strategies which were hedge strategy on the basis of LPM & non-linear correlation and hedge strategy of dynamic non-linear correlation were established.The results of the empirical analysis showed that the two innovational optimal hedge strategies were prior to the pre-optimized traditional minimizing variance method.New method of evaluating the hedge performance which adopted the integrated index of mean, variance and low partial moments of the returns of the hedging portfolio was proposed.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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