问一道题：NO.PZ2019122802000014 [ CFA III ]

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

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。 这里的cret risk 可以理解为，在市场波动比较大的时候，可转债可能会违约，导致可转债的价值下降，但是具体到long convertible bon和 short stock的时候是如何mismatching的呢？

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。 Cret issues for convertible bonarbitrageconvertible bonarbitrage = long convertible bon+ short selling stockthe security lenr mfaCret issues whithe security borrower cannot return the stoto lenr if the unrlying increase. ？为啥不能从short selling的角度，描述信用问题，stolenr 是面临信用风险的啊？

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。 the convertible bonarbitrage shoullong unrvalueconvertible bonanshort the unrlying stock.Short selling ccreate concerns for convertible bonarbitrage.1、the stois unavailable to borrow to short selling e to its higher cost2、the stolenr mcall the stobain inapportune time.3、short squeeze. the borrower must buy the stoin increasing market e to other's behavior, whiamplify the loss

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。 Convertible bonarbitrage performs best unr high issuance, morate market volatility. When market becomes volatile, it will heightens the cret risk, sinthe lenrs mreems the bonsuinappropriate time aninthe short squeeze, whifinally leang to wir cret sprea anincreasing left-tail risks.