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鹏鹏 · 2024年01月10日

请问老师这样答可以不

  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：


请问老师这样答可以不

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3 个答案

伯恩_品职助教 · 2024年01月17日

嗨，爱思考的PZer你好：


同学你好，不太行，这个之前说过，你的回答和答案意思不一样，

比如第一个，答案的重点是在不合适的时候证券持有人要回其证券，

第二个要写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. 

第三个不是很好，但是勉强说得过去

第四个的重点是•Extreme market volatility implies heightened credit risks;

Given that convertibles are naturally less-liquid securities, convertible managers generally do not fare well during such periods

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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！

鹏鹏 · 2024年01月17日

when short selling, convertible bond arbitrage may bring short squeeze, which may have a loss.

when Credit issues happen, the price of convertible bond and the stock may not change at same time, which can reduce the efficiency of convertible bond arbitrage.

Time decay of call option can reduce the value of convertible bond arbitrage, which can not bring profit.

Extreme market volatility can bring left-tail risk.

鹏鹏 · 2024年01月17日

这里答可以不？

伯恩_品职助教 · 2024年01月11日

嗨，爱思考的PZer你好：


同学你好，我确认一下，这个是你答的吗？

因为我看和答案一模一样。我这也没显示别的答案了

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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