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金融民工阿聪 · 2021年05月05日

关于相关性ρ

NO.PZ2020033001000033

问题如下:

In May of 2005, General Motors and Ford was downgraded to junk status, the following situation led to huge losses for multiple hedge funds. Which of the following positions are most likely to be held by these funds and ultimately lead to their losses?

选项:

A.

Long the equity tranche of the CDS and short the mezzanine tranche of the CDS, when the correlations of the assets in the CDO decreased.

B.

Long the equity tranche of the CDS and short the mezzanine tranche of the CDS, when the correlations of the assets in the CDO increased.

C.

Short the equity tranche of the CDS and long the mezzanine tranche of the CDS, when the correlations of the assets in the CDO decreased.

D.

Short the equity tranche of the CDS and long the mezzanine tranche of the CDS, when the correlations of the assets in the CDO increased.

解释:

C is correct.

考点:2005年的correlation-related crisis

解析:降级为垃圾级通常会导致债券价格急剧下跌,因为许多共同基金和养老基金不允许持有垃圾债券,CDO中引用投资级债券的债券的相关性下降,因为不同信用质量的债券的相关性通常较低。这导致对冲基金蒙受巨大损失,因为他们的策略是short equity的CDS的同时long mezzanine的CDS,相关性下降时这策略两端都受损。

2005年,对冲基金的策略和情况是否如下?个人理解:

1.一直假设e层和M层相关性比较高,都不太可能违约,价格上e层更贵,所以就卖e的CDS,买m的CDS,对冲掉其他风险,只承担spread的风险。而因为此时相关性高,spread risk很低

2.后来E层出大问题,一些e层的债券被降级,导致被抛售,然后养老金等很多基金不会投资原来的e层,使得违约变高,e和m相关性变低,然后导致原来卖的e层的保费更贵了,M的保费更低,然后就两头亏?


是这样吗

speakingcat · 2021年08月02日

感觉有道理

1 个答案
已采纳答案

袁园_品职助教 · 2021年05月06日

同学你好!

这次危机老师在“Correlation And Financial Crisis Of 2007 To 2009”有详细讲过,你可以先去听一下视频,如果还有不理解的地方,我们再继续讨论~

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