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luojy · 2024年05月17日

为什么C选项一直持有就可以解决流动性的问题？

  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.

为什么C选项一直持有就可以解决流动性的问题？

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1 个答案

pzqa31 · 2024年05月18日

嗨，努力学习的PZer你好：


本题问的是如何解决portfolio中流动性差的债券的流动性风险。

流动性风险指的是不能及时以理想的价格变现的风险。既然不能变现，那就持有至到期，拿par value好了，所以选择C。

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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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