Risk Measurement Model and Empirical Study Based on VaR for Convertible Bond

Convertible Bond is a financial derivative with characteristics of fixed income securities and equity securities. This paper analyzes the value of convertible bonds, and constructs the short-term investment risk model measuring the bonds with the method of Value at Risk. The greatest loss of Shuiyun convertible bond one day in the future is forecasted in the risk measurement model by collecting some continuous closing prices of the bond and the relevant stock, and the result is satisfactory with the error below 5 percent, which shows that the risk measurement model provided effective forecasting for decision making.