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Barclays Capital: Convertible bonds - A Technical Introduction
作者：Luke Olsen & etc
资源类别：报告
资源格式: PDF 36 pages 英 668 KB
目录:
Introduction .................................................................................................................. 3
Terms and Definitions ................................................................................................. 4
Terms.............................................................................................................. 4
Definitions ....................................................................................................... 5
Sensitivities..................................................................................................... 5
Sample Termsheet ......................................................................................... 5
Example Convertible Bond Structure ............................................................. 6
Payoff and Valuation Profile ....................................................................................... 7
The Convertibles Market and New Issuance............................................................. 8
Sector, Currency and Geographic Profile....................................................... 8
Issuance Data for Year 2001.......................................................................... 8
Why Issue Convertibles?................................................................................ 8
New Issue Trade-off: Premium Vs Yield....................................................... 10
Who Buys Convertibles and Why?............................................................... 11
Key Features and Sensitivities................................................................................. 14
Conversion.................................................................................................... 14
Calls.............................................................................................................. 14
Puts............................................................................................................... 14
Sensitivities Summary .................................................................................. 14
Traditional Valuation Models.................................................................................... 16
Bond Plus Option / Warrant Model ............................................................... 16
One-Factor Models: Stock Price................................................................... 16
Binomial Trees.............................................................................................. 17
Issuer Credit Risk ......................................................................................... 19
Optimisations ................................................................................................ 23
Binomial Versus Trinomial Trees.................................................................. 24
Finite Difference Methods............................................................................. 24
Advanced Valuation Models ..................................................................................... 27
Problems with Traditional Models................................................................. 27
Quasi-Two-Factor Models: Stock Price-Dependent Credit Spreads............ 28
Two-Factor Models: Stock Price and Credit Spreads .................................. 32
Interest Rates and Exchange Rates............................................................. 32
Firm Valuation Models .................................................................................. 33
Summary..................................................................................................................... 34
Appendix..................................................................................................................... 35
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