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考拉 · 2024年01月07日

这道题不太理解，原解析也不清不楚的，老师可以解释一下么？

  1. CFA III
  2. Fixed Income

NO.PZ2023032703000069

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

这道题不太理解，原解析也不清不楚的，老师可以解释一下么？

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已采纳答案

pzqa015 · 2024年01月09日

嗨，爱思考的PZer你好：


请你仔细看看解析，A和B除了一次性卖出，头寸也反了。

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考拉 · 2024年01月08日

所以A、B选项都错在一次性卖出上？但题干没有提怎么卖的问题呀，只提到卖

pzqa015 · 2024年01月08日

嗨，努力学习的PZer你好：


题目问如何解决组合中流动性差的债券的问题

A选项应该是进入一个receive float，pay fixed的swap，因为只有这样，可以把流动性差的债券的头寸给对冲掉。同时，不能在债券卖出时一次性平仓，而应该是随着债券卖出，按照比例平仓swap。

B选项应该是buy CDS，因为buy CDS可以对冲掉long bond的头寸，后面也不是在债券卖掉时一次性平仓CDS，而应该是随着债券不断卖出，按照比例平仓。

C选项没问题，不卖出，一直持有流动性差的债券，就解决这个问题了。

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