Sophis research on the pricing of convertible bonds
Sophis, the Paris-based provider of cross-asset portfolio and risk management systems, has released a report on the pricing of convertible bonds. The research showed that the price of a convertible bond is mainly a function of an equity factor with a default process and that accurate pricing can usually be obtained, leading to reliable portfolio valuations and risk management. The vendor conducted the survey in response to a growing demand for more accurate methods of valuing such instruments.
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