Alternatives - 可转债套利

嗨，努力学习的PZer你好：

好的谢谢。credit spread might be widened这个不算，必须是 heightened credit risks，这个这么严格一定要写到risk是吧？我之前也写了很多答案给老师批改，都没觉得问答题这么严格，好吧突然不自信了。。——首先别慌，考前找到问题是好事。我考试前被mock题也折磨的不想考了。但最后还是过了。所以心态一定要放好。

然后具体问题来说哈。这个答案因为教材有标准的写法，最好按照标准写。而且考试的时候改试卷的人可能就只找关键词了，没看到heightened credit risks就直接过了。就会很亏。不过现在考试很少考这么纯记忆的。更多还是理解的。可以到时候听我们的押题班

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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！

嗨，努力学习的PZer你好：

i.Short selling：the strategy is to long a undervalued convertible bond and to short the overvalued stock. Therefore the short position might cause short squeeze.同学你看这里你没有提到最重要的 the stock owner may want his/her shares returned at a potentially inopportune time, 万一证券所有人在股票上涨的时候要回股票怎么办，这个才是short selling的核心。

ii.Credit issues：The convertible bond is still a bond, therefore will be influenced by the credit condition of the company.这里你没写到When credit spreads widen or narrow, there would be a mismatch in the values of the stock and convertible bond positions .当信贷利差扩大或缩小时，股票和可转换债券头寸的价值就会出现错配。导致没办法完成对冲套利。这才是关键。

第三个你写的很接近，但不理想。你至少要写到这句话The convertible bond arbitrage strategy can lose money due to time decay可转换债券套利策略可能会因时间衰减而亏损。你只是写的可转换债券中的嵌入认购期权将受到时间衰减的影响。影响是好的还是坏的？

第四个 Extreme market volatility typically implies heightened credit risks. Convertibles are naturally less-liquid securities,这个是关键中的关键，极端的市场波动通常意味着信贷风险的增加。可转换债券自然是流动性较低的证券。你的答案没有提到信用风险增加（credit spread might be widened这个不算，必须是 heightened credit risks），还有流动性差这个都没写。原因原版书答案也都有，因为这个时候赎回会增加，只能卖出证券，但是流动性差，会加剧亏损，有左偏风险。

整个你写的答案没有到关键点上，我这里说一下，希望同学不要介意，我把关键句写下来同学还是没发现没写到得分点。我觉得同学这里真的特别建议重新听一下李老师这块的讲解。感觉同学在这里没有理解。我说这个是希望同学真的学会，顺利通过考试，希望同学不要介意我这么说

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努力的时光都是限量版，加油！

嗨，从没放弃的小努力你好：

同学这个不行的。你这个没掌握知识点。可以参考下文。

. When short selling, shares must be located and borrowed; as a result, the stock owner may want his/her shares returned at a potentially inopportune time, This situation, particularly a short squeeze, can lead to substantial losses and a suddenly unbalanced exposure if borrowing the underlying equity shares becomes too difficult or too costly for the arbitrageur.

ii. 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 .

iii. The convertible bond arbitrage strategy can lose money due to time decay of the convertible bond’s embedded call option during periods of reduced realized equity volatility and/or due to a general compression of market implied volatility levels.

iv.  Extreme market volatility typically implies heightened credit risks. Convertibles are naturally less-liquid securities, so convertible managers generally do not fare well during such periods.

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虽然现在很辛苦，但努力过的感觉真的很好，加油！