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mino酱是个小破货 · 2024年07月21日

麻烦老师解释C要怎么做?谢谢

NO.PZ2023010407000009

问题如下:

Next, while researching relative value strategies, Mukilteo considers a government bond strategy that involves buying lower-liquidity, off-the-run bonds and selling higher-liquidity, duration-matched, on-the-run bonds.

The government bond strategy that Mukilteo considers is best described as a:

选项:

A.

carry trade.

B.

yield curve trade.

C.

long/short credit trade.

解释:

A is correct. Carry trades involve going long a higher-yielding security and shorting a lower-yielding security with the expectation of receiving the positive carry and of profiting on long and short sides of the trade when the temporary relative mispricing reverts to normal. A classic example of a fixed-income arbitrage trade involves buying lower-liquidity, off-the-run government securities and selling higher-liquidity, duration-matched, on-the-run government securities. Interest rate and credit risks are hedged because long and short positions have the same duration and credit exposure. So, the key concern is liquidity risk. Under normal conditions, as time passes, the more (less) expensive on-the-run (off-the-run) securities will decrease (increase) in price as the current on-the-runs are replaced by a more liquid issue of new on-the-run bonds that then become off-the-run bonds.

B is incorrect because Mukilteo considers a carry trade, not a yield curve trade. For yield curve trades, the prevalent calendar spread strategy involves taking long and short positions at different points on the yield curve where the relative mispricing of securities offers the best opportunities, such as in a curve flattening or steepening, to profit. Perceptions and forecasts of macroeconomic conditions are the backdrop for these types of trades. The positions can be in fixed-income securities of the same issuer; in that case, most credit and liquidity risks would likely be hedged, making interest rate risk the main concern. Alternatively, longs and shorts can be taken in the securities of different issuers—but typically ones operating in the same industry or sector. In this case, differences in credit quality, liquidity, volatility, and issue-specific characteristics would likely drive the relative mispricing. In either case, the hedge fund manager aims to profit as the mispricing reverses (mean reversion occurs) and the longs rise and shorts fall in value within the targeted time frame.

C is incorrect because Mukilteo considers a carry trade, not a long/short credit trade. In a long/short credit trade, valuation differences result from differences in credit quality—for example, investment-grade versus non-investment-grade securities. It involves the relative credit risks across different security issuers and tends to be naturally more volatile than the exploitation of small pricing differences within sovereign debt alone

讲义不够明白,怕写出三种方法,谢谢

1 个答案

伯恩_品职助教 · 2024年07月21日

嗨,努力学习的PZer你好:


这个教材就写了这么多(It involves the relative credit risks across different security issuers and tends to be naturally more volatile than the exploitation of small pricing differences within sovereign debt alone),也就是只掌握这些就可以了,毕竟考试不可能考教材没讲过的啊

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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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NO.PZ2023010407000009 问题如下 Next, while researching relative value strategies, Mukilteo consirs a government bonstrategy thinvolves buying lower-liquity, off-the-run bon anselling higher-liquity, ration-matche on-the-run bon.The government bonstrategy thMukilteo consirs is best scribe A.carry tra. B.yielcurve tra. C.long/short cret tra. A is correct. Carrytras involve going long a higher-yielng security anshorting alower-yielng security with the expectation of receiving the positive carryanof profiting on long anshort sis of the tra when the temporaryrelative mispricing reverts to normal. A classic example of a fixeincomearbitrage tra involves buying lower-liquity, off-the-run governmentsecurities anselling higher-liquity, ration-matche on-the-rungovernment securities. Interest rate ancret risks are heebecause longanshort positions have the same ration ancret exposure. So, the keyconcern is liquity risk. Unr normcontions, time passes, the more(less) expensive on-the-run (off-the-run) securities will crease (increase)in prithe current on-the-runs are replacea more liquiissue of newon-the-run bon ththen become off-the-run bon.B is incorrectbecause Mukilteo consirs a carry tra, not a yielcurve tra. For yielurve tras, the prevalent calenr sprestrategy involves taking long anhort positions fferent points on the yielcurve where the relativemispricing of securities offers the best opportunities, suin a curveflattening or steepening, to profit. Perceptions anforecasts of macroeconomiccontions are the backop for these types of tras. The positions cinfixeincome securities of the same issuer; in thcase, most cret aniquity risks woullikely hee making interest rate risk the mainconcern. Alternatively, longs anshorts ctaken in the securities offferent issuers—but typically ones operating in the same instry or sector. Inthis case, fferences in cret quality, liquity, volatility, anssue-specific characteristiwoullikely ive the relative mispricing. Ineither case, the hee funmanager aims to profit the mispricing reverses(mereversion occurs) anthe longs rise anshorts fall in value within thetargetetime frame.C is incorrectbecause Mukilteo consirs a carry tra, not a long/short cret tra. In along/short cret tra, valuation fferences result from fferences incret quality—for example, investment-gra versus non-investment-grasecurities. It involves the relative cret risks across fferent securityissuers anten to naturally more volatile ththe exploitation of smallpricing fferences within sovereign alone carry tra 就是息差交易,那么只要两边有息差就行,不一定要跨国对吧?因为之前接触的多的例子都是在利率低的国家借钱到利率高的国家投资

2024-05-10 08:50 1 · 回答