NO.PZ2019122802000014
问题如下：
Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds, Stein proposes to increase the foundation’s exposure to relative value hedge fund strategies. As part of Stein’s due diligence on a hedge fund engaging in convertible bond arbitrage, Stein asks his investment analyst to summarize different risks associated with the strategy.
Describe how Credit issues can create concerns for Stein’s proposed hedge fund strategy.
选项：
解释：
Credit issues may complicate valuation since bonds have exposure to credit risk. When credit spreads widen or narrow, there would be a mismatch in the values of the stock and convertible bond positions that the convertible manager may or may not have attempted to hedge away.
Credit issues：指的是convertible bond会面临信用风险，信用风险得大小会影响CB的price，我们这个策略成功的前提就是股债同涨同跌，但是当发生信用风险的时候，股票和债券之间价格的关系就会变化，那么策略就有可能不成功。
ps：可能有同学会误以为信用违约就会导致什么钱不剩了，但这种理解的信用违约是卷款跑路——这是犯罪，不是违约！真正的信用违约是比如本来约定5月5日还款，今天钱没到账，变成5月6日还款，或者本来说连本带利换110万（本金100万），现在经营情况恶化只能还108万了。如果更极端一点，破产了（即所谓的资不抵债了），因为债是优先清算的，所以只要还有资产就能还一部分债，不会说直接清零了。那种分文不剩只能发生在庞氏骗局等违法犯罪的情况下。
Convertible bond arbitrage performs best under high issuance, moderate market volatility. When market becomes volatile, it will heightens the credit risk, since the lenders may redeems the bond at such inappropriate time and induce the short squeeze, which finally leading to wider credit spreads and increasing left-tail risks.
