APPLY BLOOMBERG SYSTEM TO PRICE CONVERTIBLE BOND

• Main Authors: CHEN, YUEH-LING, 陳玥玲
• Other Authors: TSAI, WEI-PON
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/31220979902145810910

碩士 === 輔仁大學 === 科技管理學程碩士在職專班 === 94 === This paper studies how to access a strong handy convertible valuation system, Bloomberg System, to comply with the mark to market requirement of FAS34 or IAS39. First, an easy and simple application guide to convertible bond valuation is introduced, which can bring wide application to financial institutions for making use of this ready system. Second, beyond user guide, the cases in practices are applied and studied for understanding the sensitivities of this pricing system. The results show valuation differences between Bloomberg system and counter-party are around ±2%. When CB is trading like a straight bond, its asset swap value needs to be adjusted without overlook the downside protection offered by the fixed-income component of the convertible. At this time, the yield volatility is sensitive to decide CB price. On the other hand, when CB is trading like equity, the result of asset swap valuation is similar to that of counter-party’s. In this case, stock volatility triggers the difference of the price rage.