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占个座儿 · 2020年02月24日

问一道题:NO.PZ2019122802000014

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 Credit issues can create concerns for Stein’s proposed hedge fund strategy.

选项:

解释:

Credit issues may complicate valuation since 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 that the convertible manager may or may not have attempted to hedge away.

您好,可以讲解一下这道题怎么理解吗?谢谢啦!

1 个答案

星星_品职助教 · 2020年02月25日

同学你好,

covertible bond 策略可以拆分为 straight bond+ call option on stock - equity。本质是在利用convexity的性质(涨多跌少)在赚钱,convertible bond 价格涨的比equity多,也就是bond的价格涨幅要超过short equity的亏损,反之同理。

但是以上的策略只考虑到了价格的变化(和对应风险),而没有考虑到bond这个部分同时还具有credit risk,如果这个时候credit risk突然上升了,bond那部分就会跌,总体的策略就可能是亏损的。

mino酱是个小破货 · 2021年03月15日

可以理解为我期待可转债价格上涨但股票下跌,因为我买债卖股。假设股票上涨,short stock赔钱,可转债部分call option上升债券部分不变的话会有收益。但天不测风云,信用风险上升了,债券部分价格下降了,一涨一跌,可能就没那么多收益

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NO.PZ2019122802000014 问题如下 Yankel Stein is the chief investment officer of a large charitable fountion basein the UniteStates. Although the fountion hsignificant exposure to alternative investments anhee fun, Stein proposes to increase the fountion’s exposure to relative value hee funstrategies. part of Stein’s e ligenon a hee funengaging in convertible bonarbitrage, Stein asks his investment analyst to summarize fferent risks associatewith the strategy.scrihow Cret issues ccreate concerns for Stein’s proposehee funstrategy. Cret issues mcomplicate valuation sinbon have exposure to cret risk. When cret sprea win or narrow, there woula mismatin the values of the stoanconvertible bonpositions ththe convertible manager mor mnot have attempteto hee away.Cret issues指的是convertible bon面临信用风险,信用风险得大小会影响CB的price,我们这个策略成功的前提就是股债同涨同跌,但是当发生信用风险的时候,股票和债券之间价格的关系就会变化,那么策略就有可能不成功。ps可能有同学会误以为信用违约就会导致什么钱不剩了,但这种理解的信用违约是卷款跑路——这是犯罪,不是违约!真正的信用违约是比如本来约定5月5日还款,今天钱没到账,变成5月6日还款,或者本来说连本带利换110万(本金100万),现在经营情况恶化只能还108万了。如果更极端一点,破产了(即所谓的资不抵债了),因为债是优先清算的,所以只要还有资产就能还一部分债,不会说直接清零了。那种分文不剩只能发生在庞氏骗局等违法犯罪的情况下。 when cret events happen, convertible bonpriwill crease while stopriis not obviously influncecret risk exposure, there will a loss in the position of convertible bonarbitrage这么回答能得分吗

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