NO.PZ2023101902000067
问题如下：
Which of the following statements about convertible arbitrage hedge fund strategies is correct?选项：
A.Credit risk plays only a minor role in convertible arbitrage hedge funds. B.Investing in convertible arbitrage does not require an understanding of liquidity considerations as the market for convertible securities is sufficiently liquid today. C.Gamma trading entails significant directional exposure to the equity markets. D.Re-hedging after a large gain yields trading gains for a typical hedged position in convertible arbitrage hedge funds.解释：
Re-hedging after significant moves of the underlying stock price is the essence of gamma trading. Credit risk plays an important role in the risk profile of convertible arbitrage hedge funds. Liquidity considerations are essential. Ignorance of this risk can lead to devastating losses as the 2008 financial crisis showed. Gamma trading means frequent re-hedging of directional exposure after market moves.C选项感觉也是对的
