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005 · 2023年06月07日

请老师详细解释下C选项

  1. CFA III
  2. Alternative

* 问题详情，请 查看题干

NO.PZ202206260100000503

问题如下：

Based on the data in Exhibit 1, what strategy is the Orion portfolio manager most likely implementing?

选项：

A.Taking advantage of option mispricing B.Profiting from extreme market volatility C.Going long a put on the equity net of hedging

解释：

Solution

A is correct. To access and extract the relatively cheap embedded optionality of the convertible, the manager hedges away other risks that are embedded in the convertible security. These include interest rate risk, credit risk, and market risk. These risks can be hedged using a combination of interest rate derivatives, credit default swaps, and short sales of an appropriate delta-adjusted amount of the underlying stock or, alternatively, the purchase of put options.

B is incorrect because the convertible arbitrage strategy performs best when there is modest volatility. Heightened volatility would suggest a period of illiquidity and widening credit spreads.

C is incorrect because buying a convertible bond and delta hedging the position does not equate to a long put position.

请老师详细解释下C选项

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2 个答案

伯恩_品职助教 · 2023年06月07日

嗨，爱思考的PZer你好：


这个题你应该正向解题。这个表里long CB，short equity（或者long put on stock）不就是CB策略嘛。中间的short利率和信用风险也是为了对冲CB里的bond。

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伯恩_品职助教 · 2023年06月07日

嗨，爱思考的PZer你好：


如果选C的话，表1只需要两个条件即可，第一做多 equity（没有的，只有做空equity的），第二做多put，其它条件都成了多余的了。所以和C完成对不上

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