NO.PZ2016031203000009
问题如下：
A hedge fund invests primarily in distressed debt. Quoted market prices are available for the underlying holdings but they trade infrequently. Which of the following will the hedge fund most likely use in calculating net asset value for trading purposes?
选项：
A. Average quotes
B. Average quotes adjusted for liquidity
C. Bid prices for short positions and ask prices for long positions
解释：
B is correct.
Many practitioners believe that liquidity discounts are necessary to reflect fair value. This has resulted in some funds having two NAVs - for trading and reporting. The fund may use average quotes for reporting purposes but apply liquidity discounts for trading purposes.
在distressed debt破产公司债券投资中，distressed debt都是驱动报价的，也就是做市商市场。通常做市商市场的报价都是bid – ask方式，常用的方法，是采用bid / ask的两个价格的平均值作为估值，但假如underlying assets交易不活跃，说明流动性差，所以需要在average price的基础上调整liquidity discount，所以B正确。 一般来说，对冲基金投资的标的资产有流动性很好的报价市场，那么不管头寸是什么方向，就直接用平均的报价即可；但如果没有流动性很好的报价市场，如本题强调，那么就在平均报价的基础上打一个流动性的折扣；最后，如果要用更加保守的方式估值，那么，long和short要分开用不同的价格估值，将bid用于做多的一方的报价，将ask用于做空一方的报价，这样比较保守。
当时基础班课上就没听懂 现在做题错了 看了下其他问题和回答也没懂