问一道题：NO.PZ2019122802000016

NO.PZ2019122802000016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 Extreme market volatility ccreate concerns for Stein’s proposehee funstrategy. Convertible arbitrage strategies have performebest when convertible issuanis high (implying a wir choiamong convertible securities well wnwarpripressure ancheaper prices), genermarket volatility levels are morate, anthe liquity to tra anaust positions is sufficient. Extreme market volatility typically implies heightenecret risks. Convertibles are naturally less-liquisecurities, so convertible managers generally not fare well ring superio. Because hee fun have become the naturmarket makers for convertibles antypically fasignificant remption pressures from investors ring crises, the strategy mhave further unattractive left-tail risk attributes ring perio of market stress.convertible bonarbitrage我们的初衷是想让让本被低估CB回到正常的价值。同时利用债券的凸性。如果波动率极度上升可能会带来一个问题，债券信用风险会上升，投资者会考虑发债人是否有能力还债，毕竟CB本质还是一个债，导致市场情绪波动CB会大跌（虽然整体组合是lta neutral了，但单个CB还是会跌，只是由于做空stock赚回来。）。投资者一看在CB大跌，会着急，纷纷要求赎回，在还没有恢复正常的价值时，HF manager就只能被迫在亏损的时候平仓。所以极度波动对CB并不好。PS:Hee fun之所以是convertible bonnaturmarket makers, 是因为CB的投资者呢，相对比较少，如果是普通的债券投资者，是为了债券的收益的话呢，CB因为附加了可转换权会比较贵，那么就直接去买普通的bon可以了。所以一般都是HF来投资，类似“做市商”提供流动性，这是因为HF实际上投资CB呢，是看重它比较便宜的call option的，所以愿意来投资。都是HF来买，那么HF就是市场的market makers了。再PS有同学会问增加波动性为什么会不好，因为option的波动性增加是利好？ 这是因为市场波动性只能带给CB里的债的波动导致的价值下降，而option要的不是市场的波动，要的标的物的波动才能带来价值。即市场的是系统性风险，导致bon价值下降，而option要的是非系统的那部分波动。 Because hee fun have become the naturmarket makers for convertibles antypically fasignificant remption pressures from investors ring crises请详细，为啥market marker，我买的是CB，vol太大，CB有可能违约不还，但short stock如果下跌有赚，还没亏。why investor找HF赎回？是因为investor缺钱吗？谢谢

NO.PZ2019122802000016 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 Extreme market volatility ccreate concerns for Stein’s proposehee funstrategy. Convertible arbitrage strategies have performebest when convertible issuanis high (implying a wir choiamong convertible securities well wnwarpripressure ancheaper prices), genermarket volatility levels are morate, anthe liquity to tra anaust positions is sufficient. Extreme market volatility typically implies heightenecret risks. Convertibles are naturally less-liquisecurities, so convertible managers generally not fare well ring superio. Because hee fun have become the naturmarket makers for convertibles antypically fasignificant remption pressures from investors ring crises, the strategy mhave further unattractive left-tail risk attributes ring perio of market stress.convertible bonarbitrage我们的初衷是想让让本被低估CB回到正常的价值。同时利用债券的凸性。如果波动率极度上升可能会带来一个问题，债券信用风险会上升，投资者会考虑发债人是否有能力还债，毕竟CB本质还是一个债，导致市场情绪波动CB会大跌（虽然整体组合是lta neutral了，但单个CB还是会跌，只是由于做空stock赚回来。）。投资者一看在CB大跌，会着急，纷纷要求赎回，在还没有恢复正常的价值时，HF manager就只能被迫在亏损的时候平仓。所以极度波动对CB并不好。PS:Hee fun之所以是convertible bonnaturmarket makers, 是因为CB的投资者呢，相对比较少，如果是普通的债券投资者，是为了债券的收益的话呢，CB因为附加了可转换权会比较贵，那么就直接去买普通的bon可以了。所以一般都是HF来投资，类似“做市商”提供流动性，这是因为HF实际上投资CB呢，是看重它比较便宜的call option的，所以愿意来投资。都是HF来买，那么HF就是市场的market makers了。再PS有同学会问增加波动性为什么会不好，因为option的波动性增加是利好？ 这是因为市场波动性只能带给CB里的债的波动导致的价值下降，而option要的不是市场的波动，要的标的物的波动才能带来价值。即市场的是系统性风险，导致bon价值下降，而option要的是非系统的那部分波动。 请老师看下我对一般套利过程如果如如下描述是否正确可转换债券的当前价格是120%面值，即1200欧元。转换比率是50，意味着每50欧元的债券可以转换为1股股票。转换价格是1200欧元除以50，等于24欧元/股，这是转换债券转换为股票的每股成本。当前ABC公司股票的市场价格是29欧元/股。套利者通过购买可转换债券并卖空相应数量的股票，如果股票价格保持在29欧元，套利者可以行使转换权，以24欧元/股的价格获得股票，然后在市场以29欧元/股的价格卖出，每股赚取5欧元的利润。无论股票价格如何小幅变动，只要不触及转换触发点（即股票价格大幅上涨或下跌导致套利机会消失），套利者通过这种套利策略都可以锁定每股5欧元的利润。这是因为股票卖空的损失和通过可转换债券获得股票的收益相互抵消。在其中如何理解债券凸性在套利中的作用（我担心主观题）；是否可以理解为债券和股票的变化不同步呢？谢谢

NO.PZ2019122802000016 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 Extreme market volatility ccreate concerns for Stein’s proposehee funstrategy. Convertible arbitrage strategies have performebest when convertible issuanis high (implying a wir choiamong convertible securities well wnwarpripressure ancheaper prices), genermarket volatility levels are morate, anthe liquity to tra anaust positions is sufficient. Extreme market volatility typically implies heightenecret risks. Convertibles are naturally less-liquisecurities, so convertible managers generally not fare well ring superio. Because hee fun have become the naturmarket makers for convertibles antypically fasignificant remption pressures from investors ring crises, the strategy mhave further unattractive left-tail risk attributes ring perio of market stress.convertible bonarbitrage我们的初衷是想让让本被低估CB回到正常的价值。同时利用债券的凸性。如果波动率极度上升可能会带来一个问题，债券信用风险会上升，投资者会考虑发债人是否有能力还债，毕竟CB本质还是一个债，导致市场情绪波动CB会大跌（虽然整体组合是lta neutral了，但单个CB还是会跌，只是由于做空stock赚回来。）。投资者一看在CB大跌，会着急，纷纷要求赎回，在还没有恢复正常的价值时，HF manager就只能被迫在亏损的时候平仓。所以极度波动对CB并不好。PS:Hee fun之所以是convertible bonnaturmarket makers, 是因为CB的投资者呢，相对比较少，如果是普通的债券投资者，是为了债券的收益的话呢，CB因为附加了可转换权会比较贵，那么就直接去买普通的bon可以了。所以一般都是HF来投资，类似“做市商”提供流动性，这是因为HF实际上投资CB呢，是看重它比较便宜的call option的，所以愿意来投资。都是HF来买，那么HF就是市场的market makers了。再PS有同学会问增加波动性为什么会不好，因为option的波动性增加是利好？ 这是因为市场波动性只能带给CB里的债的波动导致的价值下降，而option要的不是市场的波动，要的标的物的波动才能带来价值。即市场的是系统性风险，导致bon价值下降，而option要的是非系统的那部分波动。 although the extreme market volatility mcause a profit from the mispricing of the implievolatility, the convertible bonwill affectethe cret risk exposure whimcause bons fault 这道题这么回答可以吗

NO.PZ2019122802000016 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 Extreme market volatility ccreate concerns for Stein’s proposehee funstrategy. Convertible arbitrage strategies have performebest when convertible issuanis high (implying a wir choiamong convertible securities well wnwarpripressure ancheaper prices), genermarket volatility levels are morate, anthe liquity to tra anaust positions is sufficient. Extreme market volatility typically implies heightenecret risks. Convertibles are naturally less-liquisecurities, so convertible managers generally not fare well ring superio. Because hee fun have become the naturmarket makers for convertibles antypically fasignificant remption pressures from investors ring crises, the strategy mhave further unattractive left-tail risk attributes ring perio of market stress.convertible bonarbitrage我们的初衷是想让让本被低估CB回到正常的价值。同时利用债券的凸性。如果波动率极度上升可能会带来一个问题，债券信用风险会上升，投资者会考虑发债人是否有能力还债，毕竟CB本质还是一个债，导致市场情绪波动CB会大跌（虽然整体组合是lta neutral了，但单个CB还是会跌，只是由于做空stock赚回来。）。投资者一看在CB大跌，会着急，纷纷要求赎回，在还没有恢复正常的价值时，HF manager就只能被迫在亏损的时候平仓。所以极度波动对CB并不好。PS:Hee fun之所以是convertible bonnaturmarket makers, 是因为CB的投资者呢，相对比较少，如果是普通的债券投资者，是为了债券的收益的话呢，CB因为附加了可转换权会比较贵，那么就直接去买普通的bon可以了。所以一般都是HF来投资，类似“做市商”提供流动性，这是因为HF实际上投资CB呢，是看重它比较便宜的call option的，所以愿意来投资。都是HF来买，那么HF就是市场的market makers了。再PS有同学会问增加波动性为什么会不好，因为option的波动性增加是利好？ 这是因为市场波动性只能带给CB里的债的波动导致的价值下降，而option要的不是市场的波动，要的标的物的波动才能带来价值。即市场的是系统性风险，导致bon价值下降，而option要的是非系统的那部分波动。 导致市场情绪波动CB会大跌（虽然整体组合是lta neutral了，但单个CB还是会跌，只是由于做空stock赚回来。）。投资者一看在CB大跌，会着急，纷纷要求赎回，在还没有恢复正常的价值时，HF manager就只能被迫在亏损的时候平仓。所以极度波动对CB并不好1.这里的赎回是指赎回的什么呀？2.可不可以回答volatiltity 比较大，我是long convertible bon+ short stock， stock将来要买回来的风险大，所以不好

NO.PZ2019122802000016 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 Extreme market volatility ccreate concerns for Stein’s proposehee funstrategy. Convertible arbitrage strategies have performebest when convertible issuanis high (implying a wir choiamong convertible securities well wnwarpripressure ancheaper prices), genermarket volatility levels are morate, anthe liquity to tra anaust positions is sufficient. Extreme market volatility typically implies heightenecret risks. Convertibles are naturally less-liquisecurities, so convertible managers generally not fare well ring superio. Because hee fun have become the naturmarket makers for convertibles antypically fasignificant remption pressures from investors ring crises, the strategy mhave further unattractive left-tail risk attributes ring perio of market stress.convertible bonarbitrage我们的初衷是想让让本被低估CB回到正常的价值。同时利用债券的凸性。如果波动率极度上升可能会带来一个问题，债券信用风险会上升，投资者会考虑发债人是否有能力还债，毕竟CB本质还是一个债，导致市场情绪波动CB会大跌（虽然整体组合是lta neutral了，但单个CB还是会跌，只是由于做空stock赚回来。）。投资者一看在CB大跌，会着急，纷纷要求赎回，在还没有恢复正常的价值时，HF manager就只能被迫在亏损的时候平仓。所以极度波动对CB并不好。PS:Hee fun之所以是convertible bonnaturmarket makers, 是因为CB的投资者呢，相对比较少，如果是普通的债券投资者，是为了债券的收益的话呢，CB因为附加了可转换权会比较贵，那么就直接去买普通的bon可以了。所以一般都是HF来投资，类似“做市商”提供流动性，这是因为HF实际上投资CB呢，是看重它比较便宜的call option的，所以愿意来投资。都是HF来买，那么HF就是市场的market makers了。再PS有同学会问增加波动性为什么会不好，因为option的波动性增加是利好？ 这是因为市场波动性只能带给CB里的债的波动导致的价值下降，而option要的不是市场的波动，要的标的物的波动才能带来价值。即市场的是系统性风险，导致bon价值下降，而option要的是非系统的那部分波动。 例如说，市场大幅下行时会出现cret issue.市场上涨时有可能会出现short squeeze