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Basel Zhang · 2023年08月13日

credit issue和time decay为什么会影响convertible bond arbitrage?

  1. CFA III
  2. Alternative

NO.PZ2023010407000008

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 each of the following circumstances can create concerns for Stein’s proposed hedge fund strategy: i. Short selling ii. Credit issues iii. Time decay of call option iv. Extreme market volatility

选项：

解释：


进入到这个strategy的时候，已经锁定了conversion price和股价的价差了。不管股价和convertible bond的价格如何变化，锁定的价差都不变。怎么会受到影响呢？经典题第3题就说明了这个情况。

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4 个答案

伯恩_品职助教 · 2023年08月14日

嗨，爱思考的PZer你好：


我的意思是这个策略就是满足锁定价差的条件啊。为什么会受credit和time decay影响？——就是啊，这个策略必须是满足这四个条件才能锁定价差。CB策略是做多CB做空stock，然后等差价消失才能赚之间的差距。问题是比如credit影响导致CB价格下跌了，差价反而扩大了啊。还有option到期，CB也不值钱。 不会上涨反而下跌，这都是亏损的啊

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努力的时光都是限量版，加油！

伯恩_品职助教 · 2023年08月14日

嗨，爱思考的PZer你好：


难道这个策略不就是这样的吗？——对呀，任何策略都需要有满足的前提条件才能实施啊。就比如short sell 这个风险，证券所有人要求拿回做空的证券，这个还怎么对冲，对吧。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Basel Zhang · 2023年08月14日

我的意思是这个策略就是满足锁定价差的条件啊。为什么会受credit和time decay影响？

伯恩_品职助教 · 2023年08月14日

嗨，努力学习的PZer你好：


convertible bond价格涨跌不影响conversion ratio，conversion price也不受到影响。同时short stock的price也是锁定的，stock涨了，convertible bond换股后也是赚的，不影响价差啊。——这是short sell 、credit issues等四个条件能保证的情况下才是这样的。否则价格就不是锁定的

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Basel Zhang · 2023年08月14日

难道这个策略不就是这样的吗？

伯恩_品职助教 · 2023年08月13日

嗨，努力学习的PZer你好：


同学你好，credit issue是指仅仅因为credit spread变化（变大或者变小），导致和stock变化不同步，就有可能导致低估convertible bond没有涨反而跌了，stock也是没有跌反而涨了。

然后option如果到期了，隐含的波动率就回归不到自身的估值了。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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