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2006年5月8日起正式实施的《上市公司证券发行管理办法》中提出分离交易的可转换公司债券概念。自2006年11月首只分离交易可转债(06马钢债)发行以来,分离债市场规模不断扩大,截至2008年底共发行分离债20只,募集资金达到920.655亿元。分离交易可转换债券是我国最为重要的金融衍生产品之一,因此将VaR方法引入我国分离交易可转债的市场风险测度体系有着重要的现实的意义。
The “Measures for the Administration of the Issuance of Securities of Listed Companies”, which was put into effect on May 8, 2006, proposed the concept of convertible corporate bonds with separate transactions. Since the issuance of the first detachable transaction convertible bond (06 Masteel Bonds) in November 2006, the separation bond market has been continuously expanded. As of the end of 2008, a total of 20 separate bonds were issued and the proceeds raised reached 92.0655 billion yuan. It is of great realistic significance to separate convertible bonds into convertible bonds, which is one of the most important financial derivative products in our country. Therefore, introducing VaR into the market risk measurement system of convertible bonds with separated transactions in our country is of great realistic significance.